中国股市短中长期动量与反转效应实证研究

发布时间：2018-02-25 05:16

本文关键词： 行为金融证券价格动量效应反转效应　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着资本市场的发展,市场上不断发现的无法用经典金融学理论解释的异象引起经济学家的注意,行为金融学正是在对传统金融理论的挑战和质疑的背景下悄然兴起的。股票的反转和动量效应是行为金融学研究的一大成果,动量效应是指以前强势的股票的未来收益率高于以前弱势的股票；反转效应是指以前强势的股票的未来收益率低于弱势的股票。虽然国内外已经有不少文献研究这一现象,但对于我国股市,以前的研究还显得不够充分,故本文决定再次深入探讨这一重大课题。本文首先阐述了市场异象及行为金融学的发展,着重从实证和理论角度介绍了动量和反转效应国内外目前的研究成果；其次,运用实证方法,分别从短期,中期和长期检验了我国股市是否存在动量与反转现象；最后,从理论角度解释了我国动量与反转收益的来源,并针对A股市场动量和反转现象的特征做出了合理的理论解释。结果发现,第一,我国A股市场存在明显的动量和反转现象。在短期(1-2周)发现了明显的价格反转现象,在中期(1-12个月)同时发现了动量和反转现象,在长期(1-3年)发现了非常显著的反转现象。第二,动量和反转效应在我国股市具有反转收益很高,反转效应明显强于动量效应的特点。第三,本文发现赢者输者组合的风险差异并非导致动量和反转收益的主要因素,故经典的金融学理论无法完全解释动量及反转收益,而从行为金融学的角度,运用HS模型和动量生命周期理论可以比较好的解释我国动量和反转收益的来源。本文的创新主要来自两点,第一点是在长期和短期实证检验中都使用更多的因子划分赢者输者组合,以期望找到最有效的划分方法；第二点是本文充分结合中国股市的现实情况,尝试运用“概念观察者”和“概念追随者”的理论来解释我国中期反转效应明显强于动量效应的现象,相比其他解释更加符合中国股票市场现状,更加具有说服力。
[Abstract]:With the development of the capital market, the constant discovery of anomalies that cannot be explained by classical financial theory has attracted the attention of economists. Behavioral finance is quietly rising under the background of challenging and questioning the traditional financial theory. The reverse and momentum effect of stock is a great achievement of behavioral finance. Momentum effect means that the future yield of the former strong stock is higher than that of the former weak stock; the reverse effect is that the future yield of the former strong stock is lower than that of the weak stock. But for the stock market of our country, the previous research is not enough, so this paper decides to probe into this important subject again. This paper first expounds the development of market vision and behavioral finance. The present research results of momentum and reversal effects at home and abroad are introduced from the empirical and theoretical perspectives. Secondly, the empirical method is used to test the existence of momentum and reversal phenomena in China's stock market in the short, medium and long terms. This paper explains the origin of momentum and inversion returns in China from a theoretical point of view, and makes a reasonable theoretical explanation on the characteristics of momentum and inversion phenomena in A-share market. In the short period of 1-2 weeks, we found the obvious price reversal phenomenon, and in the medium term we found the momentum and the reverse phenomenon at the same time in 1-12 months. In the long period of 1-3 years, a very significant reversal phenomenon has been found. Second, momentum and reversal effects have the characteristics of high inversion returns in China's stock market, and the reverse effect is obviously stronger than that of momentum effect. Third, This paper finds that the difference in risk between winners and losers is not the main factor leading to momentum and reverse returns, so the classical financial theory can not fully explain momentum and reverse returns, but from the perspective of behavioral finance, Using HS model and momentum life cycle theory, we can explain the source of momentum and inversion income in China. The innovation of this paper mainly comes from two points. The first point is to use more factors to divide winner-loser combinations in both long-term and short-term empirical tests in order to find the most effective division method. The second point is that this paper fully combines the reality of Chinese stock market. This paper attempts to use the theories of "Conceptual Observer" and "Conceptual follower" to explain the phenomenon that the medium-term reversal effect is obviously stronger than the momentum effect in China, which is more consistent with the present situation of China's stock market and more persuasive than other explanations.
【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

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