股权分置改革与中国股市的惯性、反转效应研究

发布时间：2018-05-25 06:02

本文选题：惯性效应 + 反转效应　；参考：《复旦大学》2013年硕士论文

【摘要】：惯性效应和反转效应自发现后一直受到学术界的关注。本文以沪深A股交易数据为基础,1997-2012年为样本区间,对我国的惯性、反转效应进行实证研究,并对结果做综合分析,提出了自己的假说。本文的研究主要分为两部分：首先,本文以周为单位,设计了6个不同的排序期和检验期,对所有样本时间段的数据进行检验,发现在所有时间段内股票价格表现出反转效应,且排序期和检验期为1周时反转效应尤其显著。进一步分析各周的超额收益,发现第一周股票呈现极强的反转效应,第二周单周的超额收益则呈现惯性效应,其后各周单周收益的绝对值不断衰减。对所有时间段内的实证检验表明,CAPM模型和三因子模型均无法解释上述现象。考虑到第一周反转效应的影响,本文随后引入滞后期,即在排序期之后,对股票观察1周再买入,结果显示股票出现了惯性效应。产生上述现象的原因在于：中国股市短线交易频繁,以周为单位,由于反应过度,在第一周会产生强烈的价格反转,而中国股市的这种短期效应在长期内并不发生作用,所以检验期较大时收益出现衰减。考虑滞后期出现惯性效应是由于“反转的反转”所引起。其次,本文将所有时间段分为股改前(1997-2004年)、股改后(2008-2012年),对上述两个子区间的惯性、反转效应进行对比分析,结果表明股改后的反转效应尤其明显。进一步,将股改后的股票分为高减持比例股票和低减持股票,发现高减持比例股票在卖空赢者组合上的收益远远高于低减持比例股票。实证结果表明,解禁股股东的抛售也是短期行为,当股票收益较高时,解禁股股东会不断抛售,从而对股票价格造成向下压力,使卖空收益显著增大。本文认为,由投资者、公司以及监管层的短视造成了整个市场环境的短视,进而产生了中国股市独有的显著反转效应。
[Abstract]:Since the discovery of inertia effect and reversal effect, the academic circles have been paying close attention to them. Based on the Shanghai and Shenzhen A share trading data from 1997 to 2012, this paper makes an empirical study on the inertia and reversal effects of China, and makes a comprehensive analysis of the results, and puts forward its own hypothesis. The research of this paper is divided into two parts: First of all, in this paper, we design six different sorting periods and testing periods to test the data of all sample periods, and find that the stock price shows reverse effect in all time periods. The reversal effect was especially significant at the first week in the sorting period and the test period. After further analysis of the excess returns in each week, it is found that the stock shows a strong reversal effect in the first week, the inertia effect in the second week, and the absolute value of the return in the following week decreases continuously. The empirical results show that the CAPM model and the three-factor model can not explain the above phenomena. Considering the effect of the first week reverse effect, this paper then introduces the lag period, that is, after the ranking period, we observe the stock to buy for one week. The result shows that the stock has the inertia effect. The reason for the above phenomenon is that the short term trading in China's stock market is frequent, in weekly units, because of overreaction, there will be a strong price reversal in the first week, and this short-term effect of the Chinese stock market will not work in the long run. So when the inspection period is larger, the income is attenuated. The inertia effect of considering lag is caused by "reversal of inversion". Secondly, all the time periods are divided into the period of 1997-2004 and the period of 2008-2012 after the stock reform. The results show that the inversion effect is especially obvious after the stock reform. Further, the stocks are divided into high reduction ratio stocks and low reduction stocks, and it is found that the yield of high reduction ratio stocks is much higher than that of low reduction proportion stocks in short selling winners' portfolios. The empirical results show that the selling of unbanned shareholders is also a short-term behavior. When the stock returns are high, the shareholders will continue to sell, which will cause downward pressure on the stock price and increase the short sale income significantly. This paper argues that the shortsightedness of investors, companies and regulators results in shortsightedness of the entire market environment, which in turn produces a significant reversal effect unique to the Chinese stock market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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