基于非系统风险视角的A股市场反转效应研究

发布时间：2018-01-24 23:25

本文关键词： 反转效应非系统风险套利　出处：《上海师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：自法玛的有效市场假说和马克维茨的资产组合定价理论提出以来，就受到了诸多学者的质疑，因为它涉及到资产价格能否被正确定价以及投资者是否理性等问题。近20年来，随着一系列金融异象的发现，与现代金融理论相悖的实证证据也不断被提出。反转效应便是其中一种，，虽然大部分学者对其存在性己基本达成一致，但对其成因及相关影响因素的研宄仍然比较匮乏，且大多是以传统的行为金融学为视角，结合投资者的认知偏差和心理活动对其进行解释。近些年，国外有学者开始从非系统风险的角度对反转效应进行研宄，本文也将从这一视角出发，探索A股市场中非系统风险与反转效应的相关性，即反转效应的强弱是否与非系统风险的大小有关。通过这一研究，既能为今后研宄反转效应的成因提供新思路，又对引导投资者理性投资、深化投资者对我国证券市场内在特征的了解有重要意本文首先回顾了国内外学者对反转效应存在性和其成因及影响因素的研究成果，继而对有效市场假说的提出及其所受到的质疑进行了简要阐述；然后，本文介绍了反转效应这一金融异象的发现以及有效市场学派和行为金融学派是如何对其形成机制进行解释的;接着,本文利用经典的CAR法对A股市场的反转效应存在性进行了实证研究，研宄结果表明即便当前A股己经存在着一定的卖空机制，但反转效应，尤其是中期反转效应仍然存在；最后，本文试图从非系统风险的角度寻找影响反转效应强弱的相关变量。具体来说，本文通过选取2003年6月1日至2013年6月1日在上海证券交易所上市交易的股票数据，使用CAR法构建了形成期与持有期分别为6、9、12个月的策略组合，发现当形成期和持有期均为12个月时所构建的零成本投资组合存在显著的反转效应。接着，本文从非系统风险这一角度出发，对影响A股市场反转效应强弱的因素进行了探讨，结果表明非系统风险越高，所构建组合的月度收益越高，反转效应越强烈，即非系统风险的大小与反转效应的强弱呈现出正相关性。
[Abstract]:Since Fama's efficient market hypothesis and Markowitz's portfolio pricing theory were put forward, they have been questioned by many scholars. Because it involves whether asset prices can be correctly priced and whether investors are rational. In the last 20 years, with the discovery of a series of financial anomalies. Empirical evidence contrary to modern financial theory has been put forward. Reversal effect is one of them, although most scholars agree on its existence. However, the study of its causes and related factors is still relatively scarce, and most of them are based on the traditional behavioral finance perspective, combined with the cognitive bias and psychological activities of investors to explain it in recent years. Some foreign scholars have begun to study the reversal effect from the perspective of non-systematic risk. From this perspective, this paper will also explore the correlation between non-systemic risk and reverse effect in A-share market. That is, whether the strength of the reversal effect is related to the size of the non-systematic risk. This study can not only provide a new way to study the causes of the reversal effect in the future, but also guide investors to invest rationally. It is important to deepen investors' understanding of the inherent characteristics of China's securities market. This paper first reviews the research results of the existence of reverse effect and its causes and influencing factors at home and abroad, and then makes a brief exposition of the hypothesis of efficient markets and the doubts it has received. Then, this paper introduces the discovery of the financial anomaly of reversal effect and how the efficient market school and behavioral finance school explain its formation mechanism. Then, this paper makes an empirical study on the existence of reverse effect in A-share market by using the classical CAR method. The results show that even though there is a certain short-selling mechanism in A-share market, the reverse effect exists. In particular, the medium-term reversal effect still exists; Finally, this paper tries to look for the relative variables that influence the intensity of the reversal effect from the perspective of non-systematic risk. Based on the data of Shanghai Stock Exchange from June 1st 2003 to June 1st 2013, this paper uses the CAR method to construct the forming period and the holding period of 6 / 9 respectively. After 12 months of strategy combination, it is found that the zero-cost portfolio constructed when both the forming period and the holding period are 12 months has a significant reversal effect. Then, this paper starts from the point of view of non-systematic risk. This paper discusses the factors that influence the strength of the reversal effect in A share market. The results show that the higher the non-system risk, the higher the monthly return of the constructed portfolio, and the stronger the reversal effect. That is, the magnitude of the non-system risk is positively correlated with the strength of the reversal effect.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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