本文關(guān)鍵詞：異質(zhì)信念與中國(guó)股市反轉(zhuǎn)效應(yīng)　出處：《華中科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 動(dòng)量效應(yīng) 反轉(zhuǎn)效應(yīng) 異質(zhì)信念 換手率

【摘要】：金融市場(chǎng)的有效性一直是學(xué)術(shù)界關(guān)注的問(wèn)題，股票市場(chǎng)出現(xiàn)的動(dòng)量效應(yīng)與反轉(zhuǎn)效應(yīng)異象引起了很多人的關(guān)注，運(yùn)用行為金融學(xué)理論來(lái)解釋股市異象也成為熱點(diǎn)問(wèn)題。中國(guó)股票市場(chǎng)雖然經(jīng)過(guò)了20多年的快速發(fā)展，但是遠(yuǎn)未達(dá)到有效的層次，可以期望在成熟的股市市場(chǎng)上出現(xiàn)的動(dòng)量與反轉(zhuǎn)效應(yīng)在中國(guó)股票市場(chǎng)也存在。同時(shí)由于中國(guó)股市異質(zhì)信念比較大，二者間的關(guān)系也是一個(gè)值得關(guān)注的問(wèn)題。 本文從理論和實(shí)證上分析了中國(guó)股市的動(dòng)量和反轉(zhuǎn)效應(yīng)。理論上本文運(yùn)用Hong和Stein的理論，把投資者區(qū)分為信息觀察交易者和動(dòng)量交易者，，引入異質(zhì)信念的代理指標(biāo)，得出中國(guó)股票市場(chǎng)由于具有政策市的特征會(huì)引起反轉(zhuǎn)效應(yīng)，同時(shí)異質(zhì)信念越高的股票其越容易發(fā)生反轉(zhuǎn)效應(yīng)。實(shí)證方面，首先，本文采用了Jegadeesh的檢驗(yàn)方法，通過(guò)排序期的零投資組合的構(gòu)造，檢驗(yàn)持有期零投資組合的收益，本文選用周度數(shù)據(jù)進(jìn)行檢驗(yàn)，發(fā)現(xiàn)中國(guó)股市在一個(gè)月內(nèi)的所有零投資策略上都存在反轉(zhuǎn)。其次，鑒于中國(guó)股市存在嚴(yán)重的異質(zhì)信念特征，本文選取了換手率作為異質(zhì)信念的代理指標(biāo)，研究不同換手率下的投資策略是否會(huì)對(duì)反轉(zhuǎn)效應(yīng)產(chǎn)生影響，結(jié)果顯示，換手率越高的股票，反轉(zhuǎn)效應(yīng)越明顯。在控制了規(guī)模這一因素之后，檢驗(yàn)換手率的影響，結(jié)論依然與前述一致。最后，本文檢驗(yàn)了高低換手率之間的差異是否可以用單因素模型和三因素模型來(lái)解釋，結(jié)果顯示，隨著換手率的提高，回歸方程的常數(shù)項(xiàng)也在提高，且是顯著的，而高低換手率之間的收益差異并不能用單因素和三因素模型來(lái)解釋，說(shuō)明了異質(zhì)信念是導(dǎo)致反轉(zhuǎn)效應(yīng)產(chǎn)生的原因。 總的來(lái)說(shuō)，本文嘗試應(yīng)用異質(zhì)信念來(lái)解釋中國(guó)股市反轉(zhuǎn)效應(yīng)的形成，得出異質(zhì)信念越大，反轉(zhuǎn)效應(yīng)應(yīng)該越強(qiáng)的結(jié)論。
[Abstract]:The effectiveness of the financial market has always been concerned by the academic community, the momentum effect and reversal effect of the stock market has attracted many people's attention. Using behavioral finance theory to explain stock market anomalies has also become a hot issue. Although the Chinese stock market has developed rapidly for more than 20 years, it is far from reaching the effective level. It can be expected that the momentum and reversal effects in the mature stock market also exist in the Chinese stock market. At the same time, the relationship between them is also a problem worth paying attention to because of the heterogeneity of the Chinese stock market. This paper analyzes the momentum and reversal effects of Chinese stock market theoretically and empirically. In theory, using the theories of Hong and Stein, investors are divided into information observer traders and momentum traders. Introducing the proxy index of heterogeneity belief, it is concluded that the Chinese stock market has the characteristics of policy market will cause reversal effect, and the higher the heterogeneity belief, the more likely the reverse effect will occur. This paper uses the Jegadeesh test method, through the sequencing period of the construction of zero-portfolio to test the earnings of the zero-portfolio holding period, this paper uses cycle data to test. It is found that there is a reversal in all the zero investment strategies in the Chinese stock market within one month. Secondly, in view of the serious heterogeneity characteristics of the Chinese stock market, the turnover rate is selected as the proxy index of the heterogeneous beliefs. The results show that the higher the turnover rate, the more obvious the reverse effect. After controlling the scale factor, test the effect of turnover rate. The results show that the difference between high and low turnover rates can be explained by univariate model and three-factor model. The results show that the difference between high and low turnover rates increases with the increase of turnover rate. The constant term of regression equation is also increasing, and it is significant that the difference of return between high and low turnover rate can not be explained by single factor and three factors model, which shows that heterogeneity belief is the cause of reverse effect. In general, this paper tries to explain the formation of the reverse effect of Chinese stock market by using heterogeneity belief, and draws the conclusion that the larger the heterogeneity belief, the stronger the reverse effect should be.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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