【摘要】 本文主要研究中国股票市场在每天的交易时段是否存在特定的价格模式,如果存在某种模式,那么意味着可以建立某种获利的交易策略。基于日内交易价格模式建立的获利策略可以验证效率市场假说。本文利用有关指数每30分钟的收盘数据进行了研究,研究表明中国股票市场存在着系统性的日内交易价格模式。在整个交易期间股票收益遵循着近似U形分布的特点,对所有的指数而言,收益在10:00时统计上显著为负,在收盘时显著为正。因此基于这些研究结果的交易策略可以产生比单纯的"买入并持有"策略产生更高的收益,同时风险还大为降低。文章最后对上述现象给出了一个可能的解释。更多还原

【Abstract】 This article is to investigate whether there are certain stock price patterns during the trading sessions in Chinese stock market;and if such patterns exist it implies a profitable trading rule.The possibility of profitable intraday stock price patterns will form evidence against the Efficient Market Hypothesis(EMH).This article uses 30 minutes intervals during the trading session to study and suggests there are systematic intraday patterns in Chinese stock market.In all cases,statistically significant,the stock returns follow a U-shaped pattern during the trading session.Specifically,the stock returns for all indices analyzed,were on average negative and statistically significant at 10:00 a.m.and positive at 3:00 p.m.Based on the results a trading rule was formed that yield higher profits than the "buy and hold" strategy but which also produce less risk to the trader as measured by the standard deviation of the earned returns.Finally,the article supplies a possible explanation based market manipulation theory.更多还原