【摘要】：本文的研究目的在于了解在以月度為時間期限的情況下，動量策略在中國股市應(yīng)用的有效性。 論文首先回顧了金融理論的發(fā)展脈絡(luò)。這包括金融市場的兩個基石：有效資本假說和CAPM模型。接著論述了金融市場的一些異象，這包括賬面與市值比、規(guī)模效應(yīng)、市盈率、反轉(zhuǎn)效應(yīng)和日立效應(yīng)等。 本文在前人研究的基礎(chǔ)上考察了以月度為時間期限的情況下，形成期為1、3、6、9和12個月，持有期為1至12個月共計60個動量策略的有效性。研究發(fā)現(xiàn)策略（9，9）能過獲得顯著的動量利潤。其年化的收益率為1.81%。而且，，這個收益率在1%的水平上顯著。這個收益率并不是一個足夠大的收益率。由此可以得出結(jié)論，動量策略在中國的股票市場效果不大。但是，通過本文的分析，發(fā)現(xiàn)中國的股票市場在研究的不同形成期持有期組合內(nèi)呈現(xiàn)出較強(qiáng)的反轉(zhuǎn)現(xiàn)象。反轉(zhuǎn)效應(yīng)表現(xiàn)最明顯的是輸家組合。隨著持有期的延長，反轉(zhuǎn)的收益逐漸下降。 接下來本文考察了研究樣本十分位組合的特征和動量利潤分解。在考察動量效應(yīng)與風(fēng)險、交易量、交易金額和流通市值的關(guān)系時，本文發(fā)現(xiàn)不同的組合表現(xiàn)出不同的特征。每種因素都能對動量策略具有一定的解釋作用。
[Abstract]:The purpose of this study is to understand the effectiveness of momentum strategy in China's stock market under the monthly time limit. Firstly, the paper reviews the development of financial theory. This includes the two cornerstones of financial markets: the efficient capital hypothesis and the CAPM model. Then it discusses some anomalies of financial market, including book to market value ratio, scale effect, price-earnings ratio, reverse effect and Hitachi effect. On the basis of previous studies, this paper investigates the effectiveness of 60 momentum strategies with a monthly time limit of 1 / 3 / 6 / 9 and 12 months and a holding period of 1 to 12 months respectively. The study found that the strategy (9 / 9) can achieve significant momentum profit. Its annualized rate of return is 1.81. Moreover, the yield is significant at a level of 1%. This rate of return is not a large enough rate of return. It can be concluded that momentum strategy has little effect in Chinese stock market. However, through the analysis of this paper, it is found that the Chinese stock market shows a strong reversal phenomenon in the portfolio of different forming periods. The most obvious reversal effect is the loser combination. With the extension of the holding period, the return of the reverse gradually decreased. Then we investigate the characteristics and momentum profit decomposition of ten bit combinations of samples. When we examine the relationship between momentum effect and risk, transaction volume, transaction amount and market value, we find that different combinations exhibit different characteristics. Each factor can explain the momentum strategy to some extent.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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