中国股票市场的价格动量收益存在性及其来源分析

发布时间：2018-05-15 13:56

本文选题：动量收益 + 收益率　；参考：《南京理工大学》2014年硕士论文

【摘要】：有效市场理论认为,在一个有效市场上,股票价格反映了它所包含的所有信息。但是现实股票市场出现的严重股票异象—动量效应以及反转效应,对有效市场理论提出了严重的挑战。研究股市的动量收益不仅具有理论意义更具有实践指导意义：一方面有助于发展有效市场理论和行为金融理论,对股票价格的变动作出更加合理的解释。另一方面通过发现股价变动的相关规律,找到现实投资中可以获得正收益的投资策略。在介绍了论文的研究背景并对相关研究文献进行归纳、综述之后,本文以1995年4月到2013年3月为研究区间,以沪市A股为研究样本,采取实证分析的方法对我国股市的动量收益进行了研究。在存在性检验基础上文章选取动量收益较大的投资策略进一步进行了动量收益来源的研究。本文从流动性、风险因素、宏观经济三个方面对动量收益进行解释。文章以换手率作为流动性变量,Fama和French的三因子模型作为风险模型,并选取了6个宏观经济变量构建多元线性回归。回归结果发现流动性和动量收益具有负相关,而三因子模型中只有规模因子对动量收益具有正相关。宏观因子中固定资产投资和工业增加值对动量收益具有解释力度。
[Abstract]:Efficient market theory holds that in an efficient market, the stock price reflects all the information it contains. However, the serious stock aberration-momentum effect and reverse effect in the real stock market pose a serious challenge to the efficient market theory. On the one hand, it is helpful to develop efficient market theory and behavioral finance theory, and to explain the change of stock price more reasonably. On the other hand, we find out the relevant law of stock price change, and find out the investment strategy in which positive income can be obtained in real investment. After introducing the research background of the thesis and summarizing the relevant research literature, this paper takes April 1995 to March 2013 as the research interval, and takes the A shares of Shanghai Stock Exchange as the research sample. The momentum return of China's stock market is studied by means of empirical analysis. On the basis of existence test, this paper studies the source of momentum income by selecting the investment strategy with large momentum return. This paper explains momentum gains from three aspects: liquidity, risk factors and macro economy. This paper takes turnover rate as liquidity variable Fama and French's three-factor model as risk model, and selects six macroeconomic variables to construct multivariate linear regression. The regression results show that there is a negative correlation between liquidity and momentum return, while in the three-factor model, only the scale factor has a positive correlation with momentum return. Macroscopical factors such as fixed assets investment and industrial added value explain momentum gains.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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