我国股市动量效应和反转效应规律探究

发布时间：2018-03-30 22:14

本文选题：动量效应　切入点：反转效应　出处：《厦门大学》2014年硕士论文

【摘要】：有效市场假说认为,所有可获得的信息都已在价格中充分体现,投资者不可能通过分析已有信息获得超额收益。各类金融异象表明有效市场假说或许并不成立。大多数金融异象在发现后都会引起投资者的广泛关注,进而逐渐消失,但目前依然没有证据表明动量效应和反转效应已经消失或正在消失,故而引起了大量研究者的兴趣。目前,针对美国等成熟市场的研究表明动量效应主要存在于3-12个月的观察期和持有期,而反转效应则存在于1年以上。我国股票市场成立二十余年,规模和效率都发生了翻天覆地的变化,在我国经济发展中起到举足轻重的作用。对我国股市的规律变化进行全面的研究,得出清晰可信的结论是十分必要的,不仅能促进投资者理性操作,促进市场有效发展,对于制度的制定者设计实施更有利于市场正常运行的管理机制也有十分重要的意义。而检验动量效应和反转效应是否存在,验证弱有效市场假说是否成立是这类研究很好的基础和开端。本文首先对国内外现有相关研究进行总体回顾,然后将过去20年的股票市场交易数据按照股市涨跌形态分为四个阶段,分别以不同的研究方法分析年、月、周、日四类检验周期上是否存在动量效应或反转效应,并分析其变化规律。本文研究发现：在2-5年的检验周期,我国股市存在显著的反转效应；3-12个月为检验周期并未观察到动量效应或反转效应,1-2个月为观察期时存在微弱的反转效应；以周为检验周期的数据显示,早期在极少数观察期持有期组合中存在微弱的动量效应,随着时间的推移,动量效应逐步消失,反转效应出现并越来越显著；以日为检验周期,股权分置改革前,牛市熊市都只存在隔夜动量效应,股权分置改革后动量效应和反转效应都有所加强,其中牛市动量效应更强,而熊市则是反转效应占主导。动量效应主要存在于观察期为1-2个交易日的组合,反转效应则多存在于中等长度的观察期和持有期组合。
[Abstract]:The efficient Market hypothesis states that all available information is fully reflected in the price. It is impossible for investors to obtain excess returns by analyzing the information they already have. All kinds of financial anomalies suggest that the efficient market hypothesis may not be true. Most financial anomalies will cause widespread concern among investors when they are discovered, and then gradually disappear. However, there is still no evidence that the momentum effect and the reversal effect have disappeared or are disappearing, which has aroused the interest of a large number of researchers. Studies on mature markets such as the United States show that the momentum effect mainly exists in the observation period and holding period of 3-12 months, while the reverse effect exists in more than one year. The stock market of our country has been established for more than 20 years. The scale and efficiency of the stock market have changed dramatically and played an important role in the economic development of our country. It is necessary to draw a clear and credible conclusion, not only to promote the rational operation of investors, but also to promote the effective development of the market. It is also of great significance for system makers to design and implement regulatory mechanisms that are more conducive to the normal functioning of the market. To verify the validity of the weak efficient market hypothesis is a good basis and the beginning of this kind of research. In this paper, we first review the existing relevant research at home and abroad, and then divide the stock market trading data of the past 20 years into four stages according to the stock market patterns, and analyze the year, month, week with different research methods. Whether there is momentum effect or reversal effect in the four kinds of days is tested, and its variation law is analyzed. In this paper, it is found that in the test period of 2-5 years, there is a significant reversal effect in China's stock market. No momentum effect or weak reversal effect is observed in the test period of 3-12 months. The weekly data showed that there was a weak momentum effect in a few observation periods, and the momentum effect disappeared gradually and the reverse effect appeared and became more and more significant with the passing of time. Before the reform of split share structure, there was only overnight momentum effect in bull market and the momentum effect and reversal effect were strengthened after the reform of split share structure, among which the momentum effect of bull market was stronger. While the bear market is dominated by reverse effect, momentum effect mainly exists in the combination of 1-2 trading days in the observation period, and the reverse effect mostly exists in the combination of the observation period and the holding period.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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