基于成交量的中国股市动量效应研究

发布时间：2018-02-20 15:37

本文关键词： 动量效应收益率成交量中国股市投资组合　出处：《南京理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：动量效应是微观金融学对有效市场假说进行检验的必要条件,也是投资者特别是机构投资者惯常采用的一种选股策略。相关实证研究的结果显示,不同市场采用同样变量与方法,对动量效应的检测结果不同；同一市场采用不同的变量与方法,对动量效应的检测结果也不相同。表明动量效应的检测需要构建与研究对象相适应的理论框架。对中国股市发展进程以及相关实证研究结果表明,中国股市在20多年的发展过程中,具有显著的扩容特征,因而有必要构建基于成交量的中国股市动量效应检测模型。首先,本文以2000年1月到2011年12月期间上海证券交易所和深圳证券交易所全部股票的周收益率为样本,采用重叠抽样的方法,对我国证券市场的动量效应进行实证研究。结果表明,我国证券市场不存在动量效应,各个期限的形成期和持有期动量效应收益和T检验均不明显；以股改为分水岭,股改之前只有形成期和持有期在3周以内才有动量效应,而股改以后动量效应显著不存在；其次,在加入成交量调整周收益率后对上述样本重新进行检测,结果显示我国股票市场在任何时间段均不存在动量效应；最后,对照加入成交量调整收益率的实证结果与未加入成交量调整的实证结果的进一步分析,发现各组合动量策略的收益前者均显著小于后者。本文研究结果的含义是：从理论上看关于我国股票市场动量效应的研究还存在很大局限,这主要是因为股票市场的样本区间不够长,各阶段样本公司数量分布不均衡；从实践上看,在任何形成期和持有期范围内,如果采用股票历史收益率和股票成交量的选股策略,将会面临亏损,而且,随着形成期和持有期的延长,股票投资者的损失会随之变大。这一解释有助于理解我国股票市场上长期大量存在短期交易行为的现象。
[Abstract]:Momentum effect is a necessary condition for microfinance to test the efficient market hypothesis, and it is also a stock selection strategy used by investors, especially institutional investors. Different markets use the same variables and methods to detect momentum effects, and the same market uses different variables and methods. The testing results of momentum effect are also different. It shows that the detection of momentum effect needs to construct a theoretical framework suitable to the object of study. The development process of Chinese stock market and the related empirical research results show that, The development of Chinese stock market in the course of more than 20 years, has the remarkable expansion characteristic, therefore, it is necessary to construct the momentum effect detection model based on the trading volume in the Chinese stock market. First of all, this paper takes the weekly return rate of all the stocks of Shanghai Stock Exchange and Shenzhen Stock Exchange from January 2000 to December 2011 as a sample, and adopts the method of overlapping sampling. The results show that there is no momentum effect in the stock market of China, and the momentum effect returns and T tests of each maturity period are not obvious, and the stock is changed into a watershed, the result shows that there is no momentum effect in the stock market in China, and there is no momentum effect in the stock market in China. Before the stock reform, only the forming period and the holding period have momentum effect within 3 weeks, but the momentum effect does not exist significantly after the stock reform. Secondly, after adding the trading volume to adjust the weekly rate of return, the above samples are re-tested. The results show that there is no momentum effect in Chinese stock market in any time period. It is found that the former is significantly smaller than the latter. The implication of this study is: theoretically speaking, there are still some limitations in the research on momentum effect of stock market in China, which is mainly due to the fact that the sample range of stock market is not long enough, and the distribution of sample companies is not balanced in each stage; In practice, in any period of formation and holding, if the stock selection strategy of historical rate of return and trading volume of stock is adopted, it will face losses, and with the extension of the forming period and the holding period, The loss of stock investors will increase with it. This explanation is helpful to understand the phenomenon that there is a large number of short-term trading behaviors in China's stock market for a long time.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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