本文選題：創(chuàng)業(yè)板市場(chǎng)　切入點(diǎn)：動(dòng)量效應(yīng)　出處：《山西財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：自從20世紀(jì)80年代動(dòng)量效應(yīng)這一概念被提出以來,就引起金融學(xué)界學(xué)者的不斷討論。傳統(tǒng)金融學(xué)派希望能夠通過傳統(tǒng)金融理論對(duì)這一現(xiàn)象進(jìn)行解釋,但一直都沒有能像行為金融學(xué)派那樣得出一個(gè)相對(duì)完整而合理的解釋理論體系,因此動(dòng)量效應(yīng)成為傳統(tǒng)金融學(xué)派與新興的行為金融學(xué)派的爭(zhēng)論熱點(diǎn),而90年代反轉(zhuǎn)效應(yīng)的發(fā)現(xiàn)更是引發(fā)了進(jìn)一步的討論。在動(dòng)量與反轉(zhuǎn)效應(yīng)的相關(guān)研究中,部分發(fā)達(dá)國(guó)家對(duì)證券市場(chǎng)的研究較為全面,但對(duì)于我國(guó),研究對(duì)象主要集中于主板市場(chǎng)以及中小板市場(chǎng),對(duì)創(chuàng)業(yè)板市場(chǎng)的研究較少。作為我國(guó)多層次資本市場(chǎng)結(jié)構(gòu)中的年輕一員,創(chuàng)業(yè)板市場(chǎng)在支持中小企業(yè)融資以及促進(jìn)經(jīng)濟(jì)轉(zhuǎn)型發(fā)展方面起著至關(guān)重要的作用。動(dòng)量與反轉(zhuǎn)效應(yīng)在創(chuàng)業(yè)板市場(chǎng)的研究不但可以豐富行為金融理論,同時(shí)也可以使創(chuàng)業(yè)板市場(chǎng)定價(jià)合理化、規(guī)范化,進(jìn)一步完善創(chuàng)業(yè)板市場(chǎng),更好地發(fā)揮其資本市場(chǎng)的作用。本文在Jegadeesh與Titman(1993)對(duì)動(dòng)量與反轉(zhuǎn)效應(yīng)的研究方法基礎(chǔ)上,利用創(chuàng)業(yè)板市場(chǎng)篩選后的165只股票共196周的周收益率數(shù)據(jù)進(jìn)行了實(shí)證分析,分析結(jié)果表明我國(guó)創(chuàng)業(yè)板市場(chǎng)存在顯著的短期(極短期)反轉(zhuǎn)效應(yīng)以及中期動(dòng)量效應(yīng)。在此基礎(chǔ)上又進(jìn)一步對(duì)創(chuàng)業(yè)板典型的5個(gè)分行業(yè)股票進(jìn)行實(shí)證分析,結(jié)果表明機(jī)械行業(yè)呈現(xiàn)短期與中期的反轉(zhuǎn)效應(yīng),基礎(chǔ)化工行業(yè)的動(dòng)量與反轉(zhuǎn)效應(yīng)都不顯著,而計(jì)算機(jī)行業(yè)、電子元器件行業(yè)以及醫(yī)藥生物行業(yè)都顯示了與創(chuàng)業(yè)板市場(chǎng)一樣的實(shí)證結(jié)論,那就是短期(極短期)的反轉(zhuǎn)效應(yīng)與中期的動(dòng)量效應(yīng)。并且對(duì)于創(chuàng)業(yè)板整體與5個(gè)分行業(yè)來說,下降市區(qū)間實(shí)證結(jié)果的顯著性都不如上升市區(qū)間強(qiáng)。針對(duì)實(shí)證結(jié)果,通過分析可得出創(chuàng)業(yè)板市場(chǎng)之所以存在短期(極短期)反轉(zhuǎn)效應(yīng)與中期動(dòng)量效應(yīng)主要是由于創(chuàng)業(yè)板市場(chǎng)結(jié)構(gòu)不合理、“政策市”現(xiàn)象影響嚴(yán)重以及投資者行為特點(diǎn)的缺陷所造成的。在此基礎(chǔ)上本文為投資者提出了具體的投資意見,并且為創(chuàng)業(yè)板市場(chǎng)健康平穩(wěn)的發(fā)展提出了較為詳細(xì)的政策性建議。
[Abstract]:Since the concept of momentum effect was put forward in 1980s, it has aroused constant discussion among the scholars of finance. The traditional finance school hopes to explain this phenomenon through the traditional financial theory. However, the momentum effect has become a hot issue between the traditional financial school and the new behavioral finance school, since it has not been able to come to a relatively complete and reasonable explanation theory system like the behavioral finance school. In 90s, the discovery of the reverse effect led to further discussion. In the research of momentum and reversal effect, some developed countries have more comprehensive research on the stock market, but for our country, The research object is mainly focused on the main board market and the small and medium-sized board market, but the research on the gem market is less. As a young member of the multi-level capital market structure of our country, The gem market plays an important role in supporting the financing of small and medium-sized enterprises and promoting the development of economic transformation. The momentum and reversal effects in the gem market can not only enrich the behavioral finance theory. At the same time, it can also rationalize and standardize the pricing of the gem market, further improve the gem market and give better play to the role of its capital market. This paper based on the research method of momentum and reversal effect of Jegadeesh and Titanium 1993. Based on the data of 196 weeks of weekly rate of return of 165 stocks screened in the gem, this paper makes an empirical analysis. The results show that there are significant short term (very short term) reversal effects and medium term momentum effects in China's gem market. The results show that the short and medium term reverse effects are present in the mechanical industry, while the momentum and inversion effects in the basic chemical industry are not significant, while in the computer industry, Both the electronic components industry and the pharmaceutical and biological industry have shown the same empirical conclusion as the gem market, that is, the short (very short) reversal effect and the medium term momentum effect. And for the gem as a whole and 5 sub-industries, The decrease of empirical results between urban areas is not as significant as that of rising cities. Through the analysis, it can be concluded that the short-term (very short term) reversal effect and the medium term momentum effect are mainly due to the unreasonable structure of the gem market, the serious influence of the "policy market" phenomenon and the characteristics of investors' behavior. On the basis of this, this paper puts forward specific investment advice for investors. And for the gem market healthy and stable development put forward more detailed policy recommendations.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：1601451