發(fā)布時(shí)間：2018-01-24 00:59

  本文關(guān)鍵詞： 動(dòng)量效應(yīng) 超額收益 有效市場(chǎng)　出處：《哈爾濱工業(yè)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：隨著金融領(lǐng)域的發(fā)展，，金融市場(chǎng)上出現(xiàn)了與傳統(tǒng)金融理論相背離的市場(chǎng)異象，動(dòng)量效應(yīng)就是其中之一�，F(xiàn)有動(dòng)量效應(yīng)研究主要分為兩類(lèi)，第一動(dòng)量效應(yīng)的存在性及其表現(xiàn)特征，第二從傳統(tǒng)金融學(xué)理論及行為金融學(xué)理論的角度對(duì)動(dòng)量效應(yīng)的來(lái)源進(jìn)行理論及模型分析。本文主要研究的是我國(guó)股票市場(chǎng)上動(dòng)量效應(yīng)的存在性及其表現(xiàn)特征的問(wèn)題，以期探究在中國(guó)這樣的新興證券市場(chǎng)上動(dòng)量效應(yīng)的存在性，發(fā)現(xiàn)股票收益的規(guī)律性，從而更好地為學(xué)者和投資者提供建議。 鑒于股票收益序列在日內(nèi)及非日內(nèi)具有不同的特征，本文嘗試從日內(nèi)動(dòng)量效應(yīng)和非日內(nèi)動(dòng)量效應(yīng)兩個(gè)角度進(jìn)行分析。日內(nèi)動(dòng)量效應(yīng)研究探究的是交易日內(nèi)的股票收益規(guī)律，本文建立起實(shí)證模型縱向分析了日內(nèi)動(dòng)量效應(yīng)在不同交易時(shí)段的存在性及特征，橫向分析了不同類(lèi)型的收益信息沖擊下的日內(nèi)動(dòng)量效應(yīng)。而非日內(nèi)動(dòng)量效應(yīng)研究的是非日內(nèi)期限內(nèi)的股票收益規(guī)律，本文采用構(gòu)建投資組合的方法，分別研究了一維的非日內(nèi)動(dòng)量及二維的非日內(nèi)動(dòng)量效應(yīng)。本文研究得出：在我國(guó)股票市場(chǎng)上存在日內(nèi)動(dòng)量效應(yīng)，日內(nèi)動(dòng)量效應(yīng)在各交易段內(nèi)的表現(xiàn)有所差異，并且在隔夜正收益沖擊下我國(guó)股票市場(chǎng)具有動(dòng)量效應(yīng)，而在隔夜負(fù)收益時(shí)市場(chǎng)并未表現(xiàn)出動(dòng)量。此外，一維的非日內(nèi)動(dòng)量研究表明內(nèi)在市場(chǎng)運(yùn)行機(jī)制的對(duì)動(dòng)量效應(yīng)的影響是正向的，考慮外部融資融券政策影響后動(dòng)量效應(yīng)趨勢(shì)加強(qiáng)。二維的非日內(nèi)動(dòng)量研究表明價(jià)格動(dòng)量在三年以上存在，而交易量動(dòng)量在一年內(nèi)表現(xiàn)較為明顯。 本文的研究一方面檢驗(yàn)了有效市場(chǎng)假說(shuō)在我國(guó)A股市場(chǎng)的表現(xiàn)；另一方面日內(nèi)動(dòng)量效應(yīng)的研究可以為投資者在交易日內(nèi)選擇合適的投資時(shí)機(jī)提供建議；而非日內(nèi)動(dòng)量效應(yīng)的研究可以為投資者投資策略的選取提供建議。
[Abstract]:With the development of the financial field, there are market anomalies that deviate from the traditional financial theory in the financial market, and momentum effect is one of them. The existing research on momentum effect is divided into two categories. The existence and characteristics of the first momentum effect. The second is to analyze the origin and model of momentum effect from the perspective of traditional financial theory and behavioral finance theory. This paper mainly studies the existence of momentum effect and its characteristics in Chinese stock market. Question. In order to explore the existence of momentum effect in the emerging securities market such as China and find out the regularity of stock returns, this paper provides better advice for scholars and investors. In view of the stock return sequence in the intra-day and non-intraday has different characteristics. This paper attempts to analyze the intraday momentum effect and non-intraday momentum effect. This paper establishes an empirical model to analyze the existence and characteristics of intraday momentum effect in different trading periods. This paper analyzes the intraday momentum effect under the impact of different types of income information, but not the intra-day momentum effect, which studies the law of stock returns in non-intraday period. This paper adopts the method of constructing investment portfolio. The one-dimensional and two-dimensional non-intraday momentum effects are studied respectively. The results show that there are intra-day momentum effects in Chinese stock market, and the performance of intra-day momentum effects in different trading segments is different. And under the impact of overnight positive returns, China's stock market has momentum effect, but in the overnight negative returns, the market does not show the amount of action. One-dimensional non-intraday momentum studies show that the influence of internal market mechanism on momentum effect is positive. Considering the influence of external financing and margin policy, the momentum effect trend is strengthened. Two-dimensional non-day momentum studies show that price momentum exists in more than three years, while trading volume momentum is more obvious in one year. On the one hand, this study tests the performance of the efficient market hypothesis in the A-share market of China. On the other hand, the study of intraday momentum effect can provide advice for investors to choose the right time to invest in the trading day. The study of non-intraday momentum effect can provide advice for investors to choose their investment strategies.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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