【摘要】 对深沪两市所有A股1995-2004间交易日数据的研究发现:在连续上涨3个交易日内和连续下跌4个交易日内,个股收益动量效应显著,且超额收益率与连续涨跌时间呈现正向相关关系;连续涨跌超过这个范围,个股收益呈现反转效应,建立在股票连续涨跌天数基础上的短期价格趋势投资策略可获超额回报。更多还原

【Abstract】 Taking the daily exchanging data of all the "A" stocks in Chinese stock market from 1995 to 2004 as the sample,this paper studied how the days and rang of continuous ups or downs impact on excess earning ratio of the stock in the next exchanging day,so as to discuss the applicability of the short term price’s tendency strategy in Chinese stock market.This paper integrates,within continuous ups days and,4 continuous downs days,the momentum effect of personal share of Chinese stock market is remarkable,and excess earning ratio are positively relating to the continuous ups or downs time and range.When the continuous ups or downs time goes up to,4 days,the excess earning ratio of stock appears contrariant effect.Then this paper proposes that the short-term price’s tendency strategy in Chinese stock market can obtain excess earning.更多还原