中国股票市场的动量效应,相关交易策略及其可预测性

发布时间：2018-04-23 03:08

本文选题：动量效应 + CAPM　；参考：《复旦大学》2014年硕士论文

【摘要】：股票市场的剧烈波动说明市场并不是完全有效的,投资者都认为股票价格是可以预测的并且有自己的预测方法。大量文献研究表明市场上具有很多“异相”(Anomaly),例如“应计项异相’'(Accrual Anomaly),"投资异相"(Investment Anomaly)等。而动量效应(Momentum Effect)也是股票市场上多种异相中的一种。自从Jegadeesh和Titman(1993)发现动量效应已经过去20年,近年的文献研究仍然认为动量效应仍然存在。关于动量效应的成因一直以来都没有定论：部分研究认为传统金融理论如CAPM(资本资产定价模型),Fama-French三因子模型等不能解释股票市场上的动量效应；而更多学者倾向于运用行为金融的理论解释动量效应,大都将动量效应的原因归结于“过度反应’'(Overreaction)或“反应不足”(Underreaction)。本文首先运用Jegadeesh和Titman使用的方法检验中国市场上是否有动量效应,然后分别考察不同时间段,不同行业,不同公司规模和Beta是否能够解释中国股票市场上的动量效应。我们得出结论认为：中国市场上存在动量效应,没有多空对冲的动量效应主要是因为缺乏卖空机制：公司规模,CAPM和反应不足能够有效地解释中国市场上的动量效应。最后我们研究了ARIMA模型对动量投资策略的可预测性：我们认为ARIMA模型对动量投资策略有很强的预测力,运用ARIMA模型能够有效避免投资损失,提高动量投资策略收益率。文章创新之处在于：一是详细考察了中国股票市场上不同情况下不同变量对动量效应的解释力；二是采用Fama-MacBeth回归而不是简单线性回归研究CAPM对中国市场动量效应的解释力；三是对动量投资策略的可预测性和盈利性进行了系统性分析。
[Abstract]:The volatility of the stock market shows that the market is not completely efficient. Investors believe that stock prices are predictable and have their own forecasting methods. A large number of literature studies have shown that there are a lot of "anomalyptic" in the market, such as "Accrual Anomalyy" and "Investment Anomalyy". Momentum effect is also one of the many anomalies in the stock market. It has been 20 years since the discovery of momentum effect by Jegadeesh and Titmanton in 1993. In recent years, it is still considered that momentum effect still exists. There has been no conclusion about the cause of momentum effect: some studies suggest that the traditional financial theory such as CAPM( Capital Asset pricing Model) can not explain the momentum effect in stock market, such as Fama-French three-factor model. More scholars tend to use behavioral finance theory to explain momentum effect. Most of them attribute the momentum effect to "overreaction" or "underreaction". In this paper, we use the methods of Jegadeesh and Titman to test whether there is momentum effect in Chinese stock market, and then examine whether the momentum effect in Chinese stock market can be explained by different time periods, different industries, different company size and Beta. We conclude that there is momentum effect in Chinese market and the momentum effect without long hedging is mainly due to the lack of short selling mechanism: the momentum effect in Chinese market can be effectively explained by firm size CAPM and insufficient reaction. Finally, we study the predictability of momentum investment strategy based on ARIMA model: we think that ARIMA model has strong predictive power to momentum investment strategy, and ARIMA model can effectively avoid investment loss and increase momentum investment strategy return rate. The innovations of this paper are as follows: firstly, the explanatory power of different variables to momentum effect in Chinese stock market is investigated in detail; second, the explanatory power of CAPM to momentum effect in China market is studied by using Fama-MacBeth regression instead of simple linear regression. Third, the predictability and profitability of momentum investment strategy are systematically analyzed.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【相似文献】