【作者】 陈诤；

【导师】 贺学会；

【作者基本信息】 湖南大学 ， 金融学， 2006， 硕士

【摘要】 根据弱式有效市场的假设:投资者无法利用过去的价格信息来获得超额利润。但动量效应和反向效应的发现对这个假设提出了有力的挑战,根据动量效应,投资者可以在买进前期表现好的股票的同时卖出表现差的股票来获得超额收益;而根据反向效应,投资者可以在卖出前期表现好的股票的同时买进表现差的股票来获得超额收益。本文在参考国外研究方法的基础上,以周作为检验周期,将1997年6月至2001年6月的股市作为牛市,2001年6月至2005年6月的股市作为熊市,然后分别检验股市在这两个不同时期的动量效应和反向效应。研究发现:在牛市当中,赢家组合呈现出了动量效应而输家组合呈现出了反转效应,这与牛市的整体节奏相吻合,但是输家组合存在着一些不稳健的结果,而且赢家组合所获得的收益要远远大于输家组合的收益,因此在牛市当中,动量效应占据了主导地位。在熊市区间当中,赢家组合出现了收益反转,深沪两市所有赢家组合的收益都为负,且大多数统计显著,表现出了反转效应。而输家组合的超额收益也毫无例外的为负,表现出了负的动量效应。而且赢家组合在市场中的表现甚至还不如输家组合。因此在熊市当中,反转效应占据了主导地位,卖空赢家组合的投资策略应当能够获得最大的收益。在实证结果的基础上,本文设计了2个实验,试图从投资者心理的角度来对动量效应和反向效应进行解释,并且在BHS和BSV两个模型的框架下对问题进行了进一步的分析。更多还原

【Abstract】 According to the hypothesis of weak-form market efficiency ,it is impossible for the investor to gain abnormal return by making use of out-dated price information .However ,the discovery of momentum effect and contrarian effect poses great challenge to the above hypothesis .The investor may gain abnormal return by purchasing stocks which are promising at the prophase while selling stocks with poor performance ,based on momentum effect ,or by selling stocks with good performance ,based on the contrarian effect .This thesis, with reference to foreign research methodology, examines the momentum and contrarian effects in bull market (from June, 1997 to June, 2001) and in bear market (from June, 2001 to June, 2005) respectively on a weekly basis. The author finds that, in the bull market the winner portfolio has a positive momentum effect, while the loser portfolio has a contrarian effect. Such phenomenon corresponds with the tendency of bull market. However, there are some instable results in the loser portfolio, and the returns gained by the winner portfolio are far more than those of loser portfolio. Therefore we may conclude that in the bull market the momentum effect dominates. On the other hand, during the period from June, 2001 to June, 2005 in the bear market, return contrarian exists in winner portfolio. Returns for all the winner portfolio in Shenzhen and Shanghai stock exchanges are without exception negative. Moreover, most statistics show that contrarian effect appears. The abnormal returns for the loser portfolio are also negative, showing the existence of a negative momentum effect. Furthermore, the performance of the winner portfolio is worse than that of loser portfolio. Thus we conclude that contrarian effect dominates in the bear market, and the investment strategy of sell winner portfolio will gain the maximum returns.Based on the empirical results, two experiments are set in the thesis, with the purpose of explaining the momentum effect and contrarian effect from the angle of investors’psychology. Further analysis has also been carried out within the framework of BHS and BSV models.更多还原