本文選題：日內(nèi)動量效應 + 牛熊市��； 參考：《江西財經(jīng)大學》2017年碩士論文

【摘要】：本篇論文主要研究我國A股股票市場是否存在形成周期在一個交易日內(nèi)的動量效應,即檢驗我國A股股票市場是否存在日內(nèi)形成、日內(nèi)結(jié)束的動量效應。我們把日內(nèi)形成、日內(nèi)結(jié)束的動量效應稱為日內(nèi)動量效應。眾所周知,傳統(tǒng)的有效市場假說和資產(chǎn)定價模型都不能很好地解釋動量效應。隨著人們對動量效應的深入研究,發(fā)現(xiàn)除了成熟的歐美市場外,許多新興市場也存在顯著的動量效應。此外,除了股票市場,其他金融產(chǎn)品市場也存在動量效應,這些動量效應的形成周期一般有幾日、幾周、幾個月等。隨著信息技術的發(fā)展,一方面,金融市場交易頻率越來越高,高頻交易已經(jīng)成為常態(tài);另一方面,金融交易的信息能夠及時地反映出來,快速地由市場參與者觀察到,并幾乎同步地反饋到市場中去。那么這種事實是否會導致我國A股市場出現(xiàn)日內(nèi)動量效應,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日的滬深300股指期貨交易數(shù)據(jù)為研究對象,檢驗我國A股市場的日內(nèi)動量效應。首先,我們以半小時作為交易頻率,將每個交易日的交易時間分成8段,檢驗了第一個半小時對后面各個半小時的影響,同時檢驗了前面7個半小時對第8個半小時的影響。其次,我們又將交易頻率分為一個小時和兩個小時,分別進行檢驗,結(jié)果進一步驗證我們發(fā)現(xiàn)的可靠性。再次,我們通過動量效應原理來構建策略檢驗日內(nèi)動量效應。最后,我們做了樣本外檢驗和穩(wěn)健性檢驗。根據(jù)實證分析,我們得出以下結(jié)論:(1)當交易頻率為半小時、1小時和2個小時,滬深300股指期貨存在明顯日內(nèi)動量效應,但交易頻率為兩個小時相對于半小時和1小時的效果減弱。(2)我們發(fā)現(xiàn)牛市無論上午還是下午都表現(xiàn)出明顯的動量效應,而熊市往往下午表現(xiàn)出明顯的動量效應。在高波動率、高成交量下,日內(nèi)動量效應更加明顯。(3)根據(jù)日內(nèi)動量效應構建投資策略。構建的投資策略的夏普比、標準差等指標均好于基準策略,并獲得了超額收益,這說明日內(nèi)動量效應在實際操作中有一定的實踐意義。(4)我們使用中證500股指期貨進行穩(wěn)健性檢驗,也發(fā)現(xiàn)了日內(nèi)動量效應,進一步證明了我國A股市場存在日內(nèi)動量效應。本文首次以我國A股市場為對象研究其日內(nèi)動量效應,很好地反映出我國市場機制特征,同時對我國市場監(jiān)管具有非常重要的借鑒意義。
[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.
【學位授予單位】：江西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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