【摘要】：股票價(jià)格的慣性和反轉(zhuǎn)效應(yīng)的發(fā)現(xiàn)，向傳統(tǒng)金融理論發(fā)出了極大的挑戰(zhàn)，而這一現(xiàn)象也已經(jīng)在許多國家的證券市場上得到了驗(yàn)證。國內(nèi)學(xué)者通過對我國早期股票市場的實(shí)證研究，同樣驗(yàn)證了慣性效應(yīng)和反轉(zhuǎn)效應(yīng)的存在。但由于我國證券市場成立較晚，并無經(jīng)濟(jì)危機(jī)背景下的相關(guān)研究，，本文選用De BondtThaler的經(jīng)典方法對經(jīng)濟(jì)危機(jī)下的中國股票市場進(jìn)行慣性與反轉(zhuǎn)效應(yīng)研究，選取滬深300指數(shù)成分股作為樣本，對股票的周收益和月收益進(jìn)行中短期檢驗(yàn)。 本文的實(shí)證結(jié)果顯示，我國A股收益率絕大多數(shù)情況表現(xiàn)出反轉(zhuǎn)效應(yīng)，而較少具有慣性效應(yīng)；尤其在短期的周收益檢驗(yàn)中，慣性現(xiàn)象僅存在于超短期與特定時(shí)段的投資組合中。為了考察不同市場形態(tài)下慣性和反轉(zhuǎn)的不同特征，實(shí)證的第二部分對單邊市和震蕩市分別進(jìn)行了研究，得出了在單邊市場上更容易表現(xiàn)出價(jià)格慣性的結(jié)論。 通過對風(fēng)險(xiǎn)套利組合在后持有期間收益的檢驗(yàn)，本文將我國股市出現(xiàn)時(shí)間序列效應(yīng)的原因歸結(jié)為過度反應(yīng)；同時(shí)，通過分析危機(jī)中的下跌市場容易出現(xiàn)后悔厭惡和羊群行為的負(fù)反饋機(jī)制，解釋了單邊下跌市場上較多慣性效應(yīng)的原因。此外，本文還進(jìn)一步闡述了我國市場反應(yīng)不足和羊群效應(yīng)顯著的原因。
[Abstract]:The discovery of inertia and reverse effect of stock price challenges the traditional financial theory, and this phenomenon has been verified in many countries. Through empirical research on the early stock market in China, domestic scholars also verify the existence of inertia effect and reverse effect. However, due to the late establishment of China's stock market and no related research under the background of economic crisis, this paper chooses de BondtThaler's classical method to study the inertia and reversal effects of Chinese stock market under the economic crisis. Shanghai and Shenzhen 300 index component stocks are selected as samples to test the weekly and monthly returns of the stocks in the short and medium term. The empirical results of this paper show that the yield of A shares in China shows reverse effect in most cases, but less inertia effect, especially in the short-term weekly income test, the inertia phenomenon only exists in the ultra-short-term and specific period of investment portfolio. In order to investigate the different characteristics of inertia and reversal under different market patterns, the second part of the empirical study of one-sided market and shock market, we get the conclusion that price inertia is easier to show in unilateral market. Based on the test of the return of risk arbitrage portfolio in the post-holding period, this paper ascribes the time series effect of China's stock market to overreaction, at the same time, By analyzing the negative feedback mechanism of regret aversion and herd behavior in the market of falling in crisis, this paper explains the reason of more inertia effect in the market of unilateral fall. In addition, the reasons of insufficient market response and herding effect in China are further discussed.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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