本文選題：動量效應(yīng) + 動量交易策略��； 參考：《華南理工大學(xué)》2012年碩士論文

【摘要】：自發(fā)現(xiàn)動量效應(yīng)的存在后，這一效應(yīng)不僅在學(xué)術(shù)領(lǐng)域引起了爭論，在實(shí)踐操作中也產(chǎn)生了各種不同指標(biāo)的動量交易策略。在技術(shù)分析中價值線排名分析就是基于動量效應(yīng)的價格動量分析，一些以基本面分析為主的投資策略也應(yīng)用了動量效應(yīng)。對各種不同的動量交易策略的獲利性進(jìn)行研究，不僅有助于推動金融理論的發(fā)展，還可以為技術(shù)分析及投資者決策服務(wù)。 本文在總結(jié)國內(nèi)外關(guān)于動量效應(yīng)的實(shí)證研究及分析結(jié)果之后，基于中國股市的特有性質(zhì)，形成了本文的理論基礎(chǔ)。然后采集我國滬市A股數(shù)據(jù)，并按公司規(guī)模、賬面市值比、動量大小進(jìn)行三分位獨(dú)立分組，形成動量投資組合。依次進(jìn)行了排序期和持有期同時為1、3、6個月時引入公司規(guī)模因子和賬面市值比因子的動量交易策略獲利性研究，并對其差異進(jìn)行分析。最后依據(jù)本文的實(shí)證結(jié)果探討了其形成的原因，并指出本文的不足之處。 本文通過研究上述動量交易策略發(fā)現(xiàn)：股票的動量交易策略在中國股票市場上具有可行性，并且公司規(guī)模因素的效果比賬面市值比因子的效果在遠(yuǎn)期更加明顯。為此，本文建議在采用動量交易策略時，不僅要認(rèn)識到動量投資策略有其局限性，還要根據(jù)贏家組合的具體情況進(jìn)行操作。實(shí)證檢驗(yàn)的結(jié)論與市場的實(shí)際情況相符合，，證明了動量效應(yīng)的存在及其對技術(shù)分析的影響。
[Abstract]:Since the discovery of momentum effect, this effect has not only caused controversy in the academic field, but also produced a variety of momentum trading strategies of different indexes in practice. In technical analysis, the value line ranking analysis is based on the momentum effect of price momentum analysis, and some investment strategies based on fundamental analysis also apply momentum effect. The research on the profitability of different momentum trading strategies not only helps to promote the development of financial theory, but also serves for technical analysis and investor decision making. After summing up the empirical research and analysis results of momentum effect at home and abroad, this paper forms the theoretical basis of this paper based on the unique properties of Chinese stock market. Then the A-share data of Shanghai stock market are collected and divided into three independent groups according to company size book market value ratio and momentum to form momentum portfolio. The sequential period and the holding period are 1 / 3 respectively. The profitability of momentum trading strategy with the introduction of the company size factor and the book market value ratio factor at 6 months is studied and the differences between them are analyzed. Finally, according to the empirical results of this paper, the causes of its formation are discussed, and the shortcomings of this paper are pointed out. In this paper, we find that the momentum trading strategy of stock is feasible in Chinese stock market, and the effect of company size factor is more obvious than that of book market value factor in the future. Therefore, this paper suggests that in adopting momentum trading strategy, we should not only recognize the limitations of momentum investment strategy, but also operate according to the specific situation of winner portfolio. The conclusion of empirical test is consistent with the actual situation of market, which proves the existence of momentum effect and its influence on technical analysis.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 林松立,唐旭;中國股市動量策略和反向策略投資績效之實(shí)證研究[J];財(cái)經(jīng)科學(xué);2005年01期

2 王志強(qiáng);王月盈;徐波;段諭;;中國股市動量效應(yīng)的表現(xiàn)特征[J];財(cái)經(jīng)問題研究;2006年11期

3 曾慶生;;上市公司內(nèi)部人交易披露延遲及其經(jīng)濟(jì)后果研究——來自上海股票市場的經(jīng)驗(yàn)證據(jù)[J];財(cái)經(jīng)研究;2011年02期

4 劉少波,尹筑嘉;滬市A股過度反應(yīng)和反應(yīng)不足的實(shí)證研究[J];財(cái)經(jīng)理論與實(shí)踐;2004年02期

5 賀學(xué)會;陳諍;;基于牛市和熊市不同周期的股票市場動量效應(yīng)研究[J];財(cái)經(jīng)理論與實(shí)踐;2006年05期

6 李少平;顧廣彩;;中國證券市場正反饋交易的實(shí)證研究[J];系統(tǒng)工程;2007年09期

7 劉煜輝,賀菊煌,沈可挺;中國股市中信息反應(yīng)模式的實(shí)證分析[J];管理世界;2003年08期

8 時勘;范紅霞;許均華;李啟亞;付龍波;;個體投資者股市風(fēng)險認(rèn)知特征的研究[J];管理科學(xué)學(xué)報(bào);2005年06期

9 方軍雄;我國證券投資基金投資策略及績效的實(shí)證研究[J];經(jīng)濟(jì)科學(xué);2002年04期

10 吳世農(nóng),吳超鵬;我國股票市場“價格慣性策略”和“盈余慣性策略”的實(shí)證研究[J];經(jīng)濟(jì)科學(xué);2003年04期

本文編號：1921501