本文關(guān)鍵詞：基于中國A股市場的價(jià)格慣性效應(yīng)和反轉(zhuǎn)效應(yīng)研究　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 慣性效應(yīng) 反轉(zhuǎn)效應(yīng) 特征分析 三因素模型 四因素模型

【摘要】：動(dòng)量現(xiàn)象等其他金融市場上的異�，F(xiàn)象的發(fā)現(xiàn)使得有效市場理論以及標(biāo)準(zhǔn)金融學(xué)面臨極大的挑戰(zhàn),標(biāo)準(zhǔn)金融學(xué)的支持者一直致力于用風(fēng)險(xiǎn)補(bǔ)償?shù)姆椒▉韺?duì)其進(jìn)行解釋,然而在理論和實(shí)證檢驗(yàn)上始終存在不足之處。這導(dǎo)致了行為金融學(xué)這一新的學(xué)科的興起,行為金融學(xué)將心理學(xué)和行為學(xué)結(jié)合到金融學(xué)的研究中,推翻了標(biāo)準(zhǔn)金融學(xué)理性人的假設(shè),在投資者非理性和市場非有效的框架下對(duì)市場上的異常現(xiàn)象進(jìn)行解釋。 目前對(duì)中國股市動(dòng)量現(xiàn)象的研究主要集中在慣性效應(yīng)和反轉(zhuǎn)效應(yīng)的存在性檢驗(yàn)上,而由于中國股票市場起步較晚,各研究人員的樣本選擇、統(tǒng)計(jì)方法等的不同,對(duì)于中國股票市場是否存在動(dòng)量效應(yīng)或價(jià)格反轉(zhuǎn)效應(yīng),至今仍無一致的看法。 本文首先對(duì)中國A股市場價(jià)格慣性和反轉(zhuǎn)效應(yīng)的存在性進(jìn)行實(shí)證檢驗(yàn),通過對(duì)1995-2011年中國A股市場的研究,發(fā)現(xiàn)中國股市也存在與美國股市類似慣性和反轉(zhuǎn)效應(yīng)時(shí)間模式,只是中國A股市場的慣性效應(yīng)持續(xù)期更短,慣性效應(yīng)只存在于2-3周內(nèi),而在小于2周的較短期和1-12個(gè)月的中期存在明顯的反轉(zhuǎn)效應(yīng)。 由于越來越多的研究發(fā)現(xiàn)慣性效應(yīng)和反轉(zhuǎn)效應(yīng)與股票的具體特征相關(guān),本文還進(jìn)一步研究了中國A股市場上的慣性效應(yīng)和反轉(zhuǎn)效應(yīng)與股價(jià)、交易量及公司規(guī)模之間的相關(guān)關(guān)系。 接下來,本文討論了慣性和反轉(zhuǎn)套利投資策略超額回報(bào)的來源,通過Fama-French(FF)三因子模型來檢驗(yàn)這些超額回報(bào)能否被市場超額回報(bào)、公司規(guī)模及賬面市值比這三個(gè)因子解釋,并再次比較了持有期平均收益率經(jīng)FF三因子風(fēng)險(xiǎn)調(diào)整后的超額回報(bào)率與股價(jià)、交易量及公司規(guī)模之間的相關(guān)關(guān)系。 基于FF三因子模型不能很好地解釋中國A股市場的慣性和反轉(zhuǎn)效應(yīng),本文還引入了Carhart(1997)提出的四因子模型,檢驗(yàn)其對(duì)中國A股市場的慣性效應(yīng)和反轉(zhuǎn)效應(yīng)的解釋力。 最后本文針對(duì)中國股票市場的價(jià)格慣性和反轉(zhuǎn)效應(yīng)提出了政策建議。
[Abstract]:Abnormal phenomenon momentum phenomenon and other financial market makes the effective market theory and standard finance is facing great challenges, supporters of standard finance has been committed to the risk compensation to explain it, but in the theoretical and empirical anomalies. This led to the rise of behavioral finance this new discipline, behavioral psychology and behavioral finance research to combine, to overthrow the standard finance rationality hypothesis, investors in non rational and non effective market under the framework of the abnormal phenomenon on the market was explained.
The current research on the momentum phenomenon China stock market mainly concentrated in the inertial effect and the reversal effect of the existence of the test, and because the China stock market started late, the researchers selected samples, statistical methods are different, whether China exists in the stock market momentum effect or the reversal effect, still no consensus.
Firstly, Chinese A stock market price momentum and Contrarian Effect in the empirical test of the existence of, through the study of 1995-2011 China A stock market, the stock market has found China similar with the U.S. stock market momentum and contrarian time mode, just Chinese inertia effect of A stock market duration is shorter, the inertia effect exists only in 2-3 during the week, and in less than the contrarian effect obviously than the mid term and 1-12 months for 2 weeks.
Because more and more studies have found that inertia effect and reversal effect are related to the specific characteristics of stocks, this paper further studies the relationship between inertia effect and reversal effect in China's A share market, and the correlation between stock price, trading volume and company size.
Next, this paper discusses the source of inertia and reverse arbitrage investment strategy of excess return, by Fama-French (FF) three factor model to test these excess returns can be market excess returns, firm size and book to market ratio of the three factors, and again compared the holding period of the average rate of return by the excess rate of return and stock price FF three the risk factor after adjustment, the relationship between the trading volume and the size of the company.
Based on the FF three factor model, the inertia and reversal effects of Chinese A share market can not be well explained. In this paper, a four factor model proposed by Carhart (1997) is introduced to test its explanatory power on the inertia effect and reversal effect of China's A share market.
Finally, this paper puts forward some policy suggestions on the price inertia and reversal effect of China's stock market.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1366047