【作者】 陈磊；

【导师】 杨政；

【作者基本信息】 电子科技大学 ， 金融（专业学位）， 2024， 硕士

【摘要】 在有效市场假说这一理论框架下,市场根据信息反映的程度和速度被划分为弱势、半强势和强势有效市场。特别是在强势有效市场中,如尤金法玛所述,市场的透明度和健全的法律环境使得投资者难以捕捉到超额收益的机会。然而,多项研究揭示,金融市场中依然存在着多种特殊效应,例如羊群效应、动量效应和反转效应等,这些效应揭示了短期内市场价格可能会与其基本面价值发生偏离。其中动量效应因其在市场中的广泛表现而备受瞩目,这一效应指的是在特定的时间序列中,前期资产的表现往往会在后期形成惯性趋势。国外学者通过研究发现,动量效应在欧美成熟股票市场比较显著且易于检测。然而对于中国股票市场动量效应,众多学者通过不同时间段的数据进行了深入探讨,但多数研究并未发现显著且稳定的动量效应证据。本文对中国A股市场上的行业动量效应在不同时间频率下是否存在?不同形成期及持有期的动量策略能否获得稳定的超额收益?动量策略所产生超额收益的来源是什么?等问题进行研究。为研究以上问题,本文以中国A股市场为研究对象,采用不同频次的申万一级行业指数进行实证分析,同时通过Bootstrap检验算法,提高动量效应存在性检验的准确性。通过构建不同形成期和持有期组合的策略,探讨动量策略对单个行业指数或者多个行业指数组合时,能否获得稳定的超额收益。最后通过Fama-French五因子模型对动量策略的超额收益的来源进行分析。研究发现中国A股市场在短期内存在显著的行业动量效应。具体来说,观察到日频和周频数据对行业指数当前超额收益率具有较强的预测能力,这种预测能力主要集中在较短的形成期内,为1到30天或1到4周。对于单个行业指数,在特定的形成期和持有期下,多数能够获得显著的超额收益率,同时夏普值表现优秀。这些策略在形成期为1、5、10、20天左右,持有期为1～3天时表现尤为出色。对于多个行业指数组合,发现拥有显著超额收益率的组合主要集中在较短的形成期和持有期内。经过波动率调整权重后的动量策略组合表现明显优于等权重的动量策略组合。最后,Fama-French五因子模型对动量策略组合的表现具有一定的解释力,但整体解释能力仍然有限,同时,我也注意到Rm-Rf和HML因子对动量策略的超额收益率具有一定的解释力,而SMB、RMW和CMA因子的解释力则相对较弱。这表明,在解释动量策略超额收益的来源方面,仍需要进一步的研究和探讨。更多还原

【Abstract】 Under the theoretical framework of the Efficient Market Hypothesis(EMH),markets are categorized into weak-form,semi-strong-form,and strong-form efficient markets based on the degree and speed of information reflection.Particularly in strong-form efficient markets,as described by Eugene Fama,market transparency and a sound legal environment make it difficult for investors to capture excess returns.However,numerous studies have revealed the presence of various anomalies in financial markets,such as herding effect,momentum effect,and reversal effect,which indicate that market prices may deviate from their fundamental values in the short term.Among these,the momentum effect,which refers to the tendency of assets that performed well in the past to continue performing well in the future,has garnered significant attention due to its widespread manifestation in the market.Foreign scholars have found that the momentum effect is prominent and easily detectable in mature stock markets of Europe and the United States.However,for the Chinese stock market,many scholars have conducted in-depth studies using data from different periods but have not found significant and stable evidence of the momentum effect.Thesis investigates whether the industry momentum effect exists in the Chinese Ashare market at different time frequencies.Can momentum strategies with different formation and holding periods achieve stable excess returns? What are the sources of the excess returns generated by momentum strategies?To explore these issues,thesis takes the Chinese A-share market as the research object and employs empirical analysis using the Shenwan’s First-Level Industry Index at different frequencies.Additionally,the Bootstrap test algorithm is used to enhance the accuracy of momentum effect detection.By constructing strategies with different formation and holding period combinations,the study examines whether momentum strategies can achieve stable excess returns for single industry indices or combinations of multiple industry indices.Finally,the Fama-French five-factor model is used to analyze the sources of excess returns from momentum strategies.The research finds that there is a significant short-term industry momentum effect in the Chinese A-share market.Specifically,daily and weekly frequency data exhibit strong predictive power for the current excess returns of industry indices,mainly within short formation periods of 1 to 30 days or 1 to 4 weeks.For single industry indices,significant excess returns are achieved in specific formation and holding periods,with excellent Sharpe ratios.These strategies perform particularly well with formation periods of approximately 1,5,10,and 20 days and holding periods of 1 to 3 days.For combinations of multiple industry indices,significant excess returns are primarily concentrated in short formation and holding periods.Momentum strategy portfolios with volatility-adjusted weights outperform equally weighted momentum strategy portfolios.Finally,the FamaFrench five-factor model provides some explanatory power for the performance of momentum strategy portfolios,but the overall explanatory ability is still limited.The RmRf and HML factors have some explanatory power for the excess returns of momentum strategies,while the explanatory power of the SMB,RMW,and CMA factors is relatively weak.This indicates that further research is needed to fully understand the sources of excess returns from momentum strategies.更多还原