我国A股市场的日内动量效应

发布时间：2018-06-13 00:09

本文选题：日内动量效应 + 牛熊市　；参考：《江西财经大学》2017年硕士论文

【摘要】：本篇论文主要研究我国A股股票市场是否存在形成周期在一个交易日内的动量效应,即检验我国A股股票市场是否存在日内形成、日内结束的动量效应。我们把日内形成、日内结束的动量效应称为日内动量效应。众所周知,传统的有效市场假说和资产定价模型都不能很好地解释动量效应。随着人们对动量效应的深入研究,发现除了成熟的欧美市场外,许多新兴市场也存在显著的动量效应。此外,除了股票市场,其他金融产品市场也存在动量效应,这些动量效应的形成周期一般有几日、几周、几个月等。随着信息技术的发展,一方面,金融市场交易频率越来越高,高频交易已经成为常态;另一方面,金融交易的信息能够及时地反映出来,快速地由市场参与者观察到,并几乎同步地反馈到市场中去。那么这种事实是否会导致我国A股市场出现日内动量效应,是本文研究的主要核心。本文以2012年6月26日至2016年7月13日的沪深300股指期货交易数据为研究对象,检验我国A股市场的日内动量效应。首先,我们以半小时作为交易频率,将每个交易日的交易时间分成8段,检验了第一个半小时对后面各个半小时的影响,同时检验了前面7个半小时对第8个半小时的影响。其次,我们又将交易频率分为一个小时和两个小时,分别进行检验,结果进一步验证我们发现的可靠性。再次,我们通过动量效应原理来构建策略检验日内动量效应。最后,我们做了样本外检验和稳健性检验。根据实证分析,我们得出以下结论:(1)当交易频率为半小时、1小时和2个小时,沪深300股指期货存在明显日内动量效应,但交易频率为两个小时相对于半小时和1小时的效果减弱。(2)我们发现牛市无论上午还是下午都表现出明显的动量效应,而熊市往往下午表现出明显的动量效应。在高波动率、高成交量下,日内动量效应更加明显。(3)根据日内动量效应构建投资策略。构建的投资策略的夏普比、标准差等指标均好于基准策略,并获得了超额收益,这说明日内动量效应在实际操作中有一定的实践意义。(4)我们使用中证500股指期货进行稳健性检验,也发现了日内动量效应,进一步证明了我国A股市场存在日内动量效应。本文首次以我国A股市场为对象研究其日内动量效应,很好地反映出我国市场机制特征,同时对我国市场监管具有非常重要的借鉴意义。
[Abstract]:This paper mainly studies whether there is momentum effect of forming cycle in one trading day in China's A-share stock market, that is, to test whether there is momentum effect of intraday formation and endday in Chinese A-share stock market. We call the momentum effect of intraday formation and endday as the intraday momentum effect. As we all know, neither the traditional efficient market hypothesis nor the asset pricing model can explain the momentum effect well. With the further study of momentum effect, it is found that in addition to the mature markets in Europe and America, there are also significant momentum effects in many emerging markets. In addition, in addition to the stock market, other financial product markets also have momentum effects, these momentum effects generally have a period of several days, weeks, months and so on. With the development of information technology, on the one hand, the frequency of financial market transactions is becoming higher and higher, and high-frequency trading has become the norm; on the other hand, the information of financial transactions can be reflected in a timely manner and quickly observed by market participants. And almost synchronously feed back to the market. Whether this fact will lead to intraday momentum effect in A-share market is the core of this paper. Based on the data of Shanghai and Shenzhen 300 stock index futures from June 26, 2012 to July 13, 2016, this paper examines the intraday momentum effect in China's A-share market. First of all, we use half an hour as the trading frequency, divide the trading time of each trading day into 8 segments, examine the effect of the first and a half hours on each and every half hour, and examine the effect of the first seven and a half hours on the eighth and a half hours at the same time. Secondly, we divide the trading frequency into one hour and two hours, and test the results further to verify the reliability of our findings. Thirdly, we use the momentum effect principle to construct a strategy to test the intraday momentum effect. Finally, we do the outside-sample test and the robustness test. According to the empirical analysis, we draw the following conclusion: 1: 1) when the trading frequency is half an hour or one hour and two hours, the momentum effect of Shanghai and Shenzhen 300 stock index futures is obvious. But the trading frequency of two hours is less than half an hour and one hour. 2) We find that bull market shows obvious momentum effect in both morning and afternoon, while bear market tends to show obvious momentum effect in afternoon. In the case of high volatility and high turnover, the intraday momentum effect is more obvious. 3) the investment strategy is constructed according to the intraday momentum effect. The Sharp ratio and standard deviation of the investment strategy constructed are better than those of the benchmark strategy, and the excess returns are obtained. This shows that the intraday momentum effect has certain practical significance in practice. (4) We use CSR 500 stock index futures to test the robustness, and also find the intraday momentum effect, which further proves the existence of intra-day momentum effect in China's A-share market. In this paper, the in-day momentum effect of A-share market is studied for the first time, which reflects the characteristics of China's market mechanism, and has a very important reference significance for China's market supervision.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】