惯性与反转现象在中国股市的存在性研究

【作者】 程顺；

【导师】 王庆石；

【作者基本信息】 东北财经大学 ， 数量经济学， 2006， 硕士

【摘要】 从上世纪八十年代以来，许多实证研究表明市场中存在大量与有效市场假说相背离的“市场异象”，其中最典型的“市场异象”就是股票的价格惯性现象与价格反转现象。价格惯性现象指股票在一个时期的价格仍保持上个时期的走势，即早期收益率较高的股票仍会在接下来的一段时期内超过早期收益率较低的股票；而价格反转现象则是指股票在一个时期的价格改变了上个时期的走势，早期收益率低的股票在之后的表现可能会超过早期收益率高的股票。同时由股票的价格惯性与价格反转现象产生出两种重要的投资策略：惯性投资策略和反转投资策略。这种股票价格的自相关现象已经在国外许多国家的股票市场上被发现。中国股票市场是否存在此类异现?惯性投资策略与反转投资策略在中国市场是否可行?本文系统地综合了传统金融理论与行为金融理论对价格惯性与价格反转现象产生原因的解释。然后采用沪深两市1995年1月—2005年12月期间的A股月交易数据，对我国股市的价格惯性与价格反转现象的存在性进行了研究。研究发现：(1)我国股市具有比较弱的短期惯性现象；(2)我国股票市场存在价格反转现象，尤其在中长期反转现象表现更加明显；(3)我国股票市场相比国外市场反转程度更高。此外，本文还通过我国股票市场的研究结果与国外先进市场已有研究结论的比较，分析我国股市与国外市场的差异以及这种差异产生的原因是什么。希望通过研究在一定程度上揭示我国股市价格变化的规律性与特殊性。更多还原

【Abstract】 From the 1980s, Many empirical research shows that there have a great deal of "market anomalies phenomena" in the market. One of the most typical "market anomalies phenomena" is the momentum and contrarian of the stock price. "Price momentum means that stock price movements remain on the stage. In other words, the stocks with higher returns will still have higher returns than those lower-return stocks in early period. But price contrarian means that the stock price movements change the trend of the last period in this period. Lower-return stocks may get higher return than the higher-return stocks in next period. Meanwhile, two important investment strategies have generated from these two phenomena. One is the Contrarian Investment Strategy. The other is the Momentum Investment Strategy. These Self-related phenomena since the stock market has been found in many foreign countries.Is there such phenomena in the Chinese stock market? And are the investment strategies feasible? This article comprehensively and systematically explains the traditional finance and behavioral finance. Than we do some research on Chinese market by using the transaction data of the Shanghai and Shenzhen stock markets. We have found three conclusions. First, there is a weak and short-term phenomenon of momentum in Chinese stock market. Second, our market has an obvious contrarian phenomena in long period. Third, Chinese stock market has higher degree than foreign countries in terms of contrarian phenomena.In addition, the paper also compares the research conclusion between Chinese and foreign market. Then we analyze and give the reasons for the difference. We hope that our study can reveals some regularity and particularity in the movements of Chinese stock price.更多还原