本文選題：慣性效應 + 反轉效應　； 參考：《復旦大學》2013年碩士論文

【摘要】：慣性效應和反轉效應自發(fā)現(xiàn)后一直受到學術界的關注。本文以滬深A股交易數(shù)據(jù)為基礎,1997-2012年為樣本區(qū)間,對我國的慣性、反轉效應進行實證研究,并對結果做綜合分析,提出了自己的假說。本文的研究主要分為兩部分： 首先,本文以周為單位,設計了6個不同的排序期和檢驗期,對所有樣本時間段的數(shù)據(jù)進行檢驗,發(fā)現(xiàn)在所有時間段內股票價格表現(xiàn)出反轉效應,且排序期和檢驗期為1周時反轉效應尤其顯著。進一步分析各周的超額收益,發(fā)現(xiàn)第一周股票呈現(xiàn)極強的反轉效應,第二周單周的超額收益則呈現(xiàn)慣性效應,其后各周單周收益的絕對值不斷衰減。對所有時間段內的實證檢驗表明,CAPM模型和三因子模型均無法解釋上述現(xiàn)象�？紤]到第一周反轉效應的影響,本文隨后引入滯后期,即在排序期之后,對股票觀察1周再買入,結果顯示股票出現(xiàn)了慣性效應。產(chǎn)生上述現(xiàn)象的原因在于：中國股市短線交易頻繁,以周為單位,由于反應過度,在第一周會產(chǎn)生強烈的價格反轉,而中國股市的這種短期效應在長期內并不發(fā)生作用,所以檢驗期較大時收益出現(xiàn)衰減�？紤]滯后期出現(xiàn)慣性效應是由于“反轉的反轉”所引起。 其次,本文將所有時間段分為股改前(1997-2004年)、股改后(2008-2012年),對上述兩個子區(qū)間的慣性、反轉效應進行對比分析,結果表明股改后的反轉效應尤其明顯。進一步,將股改后的股票分為高減持比例股票和低減持股票,發(fā)現(xiàn)高減持比例股票在賣空贏者組合上的收益遠遠高于低減持比例股票。實證結果表明,解禁股股東的拋售也是短期行為,當股票收益較高時,解禁股股東會不斷拋售,從而對股票價格造成向下壓力,使賣空收益顯著增大。 本文認為,由投資者、公司以及監(jiān)管層的短視造成了整個市場環(huán)境的短視,進而產(chǎn)生了中國股市獨有的顯著反轉效應。
[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.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

【參考文獻】

相關期刊論文 前4條

1 林松立,唐旭;中國股市動量策略和反向策略投資績效之實證研究[J];財經(jīng)科學;2005年01期

2 賀學會;陳諍;;基于牛市和熊市不同周期的股票市場動量效應研究[J];財經(jīng)理論與實踐;2006年05期

3 嚴太華;梁嵐;;上海股票市場動量效應研究——基于1995—2009年周收益率數(shù)據(jù)[J];技術經(jīng)濟;2011年05期

4 肖峻;陳偉忠;王宇熹;;中國股市基于成交量的價格動量策略[J];同濟大學學報(自然科學版);2006年08期

，

本文編號：1932380