本文關(guān)鍵詞： 動(dòng)量效應(yīng) 反轉(zhuǎn)效應(yīng) 中小企業(yè)板市場(chǎng)　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：有效市場(chǎng)假說(shuō)(Efficient Market Hypothesis)被認(rèn)為是現(xiàn)代金融學(xué)的基礎(chǔ),它的提出為現(xiàn)代金融學(xué)中很多重要理論與模型,例如資本資產(chǎn)定價(jià)模型的構(gòu)建,提供了理論的基礎(chǔ)。有效市場(chǎng)假說(shuō)認(rèn)為,在投資者均為理性經(jīng)紀(jì)人的前提下,市場(chǎng)中的所有信息都能被投資者獲得,并且這些信息能夠迅速地,準(zhǔn)確地反應(yīng)在證券價(jià)格上。證券的價(jià)格是服從隨機(jī)游走的,因此無(wú)論投資者怎么樣選擇自己的投資策略,都不能夠獲得超額利潤(rùn),所以被動(dòng)投資是最佳的投資策略。隨后Fama按市場(chǎng)有效性的程度,將有效市場(chǎng)劃分為了三類(lèi)：弱有效市場(chǎng),半強(qiáng)有效市場(chǎng),強(qiáng)有效市場(chǎng)；并將市場(chǎng)上的信息劃分為了：歷史信息,公開(kāi)信息和未公開(kāi)的信息。弱有效市場(chǎng)的股票價(jià)格包含了所有的歷史信息,投資者無(wú)法通過(guò)對(duì)歷史數(shù)據(jù)的研究來(lái)獲得超額的收益；半強(qiáng)有效市場(chǎng)指的是市場(chǎng)上的價(jià)格不但包含了弱有效市場(chǎng)中所有的歷史信息,也包含了與該公司相關(guān)的所有的公開(kāi)信息,投資者也無(wú)法通過(guò)這些信息去獲取超額的收益；強(qiáng)有效市場(chǎng)是指市場(chǎng)的價(jià)格以及包含了所有的信息,包括歷史信息,公開(kāi)的信息以及未公開(kāi)的信息,投資者也無(wú)法獲取超額收益。 然而隨著研究的不斷發(fā)展,學(xué)者們發(fā)現(xiàn)真實(shí)的市場(chǎng)確是與有效市場(chǎng)假說(shuō)有著很大的差距。首先,投資者并不總是理性的經(jīng)濟(jì)人,噪聲交易者在市場(chǎng)中的比例相當(dāng)大；其次,市場(chǎng)中投資者的決策是具有慣性的,所產(chǎn)生的非理性的交易并不能因?yàn)榇罅康碾S機(jī)交易而被消除。且在實(shí)證中,學(xué)者們發(fā)現(xiàn)很多的市場(chǎng)異象,這些市場(chǎng)異象均不能通過(guò)有效市場(chǎng)假說(shuō)和傳統(tǒng)的資本資產(chǎn)定價(jià)模型來(lái)解釋,反而對(duì)有效市場(chǎng)假說(shuō)產(chǎn)生了沖擊。 在這諸多的市場(chǎng)異象中,本文所研究的動(dòng)量效應(yīng)與反轉(zhuǎn)效應(yīng)便是典型的代表.De BondtThaler(1985)在對(duì)紐約交易所1926-1982年的交易數(shù)據(jù)進(jìn)行研究時(shí),首次驗(yàn)證了美國(guó)股市上的反轉(zhuǎn)效應(yīng)的存在；動(dòng)量效應(yīng)則是由JagadeeshTitman(1993)對(duì)紐交所和美國(guó)證券交易所1965-1989的交易數(shù)據(jù)研究時(shí)驗(yàn)證——在美國(guó)的證券市場(chǎng)存在動(dòng)量效應(yīng)。在此基礎(chǔ)上,后來(lái)的學(xué)者又對(duì)于其他國(guó)家市場(chǎng)上的動(dòng)量效應(yīng)及反轉(zhuǎn)效應(yīng)進(jìn)行了驗(yàn)證以及在交易量、市場(chǎng)周期、國(guó)家地區(qū)因素等變量下的穩(wěn)健性檢驗(yàn)。并嘗試運(yùn)用定價(jià)模型和行為金融學(xué)的理論來(lái)對(duì)動(dòng)量效應(yīng)及反轉(zhuǎn)效應(yīng)的成因做出解釋。在行為金融模型中,一般認(rèn)為,動(dòng)量效應(yīng)是由于反應(yīng)不足引起的,因?yàn)橥顿Y者對(duì)市場(chǎng)信息的反應(yīng)滯后,所以贏者組合的股價(jià)是低于內(nèi)在價(jià)格的；而反轉(zhuǎn)效應(yīng)是由于反應(yīng)過(guò)度引起的,由于市場(chǎng)上過(guò)度的反應(yīng),使得股價(jià)高于內(nèi)在價(jià)格,而隨著時(shí)間的推進(jìn),股價(jià)最終會(huì)回歸內(nèi)在價(jià)值,因而形成反轉(zhuǎn)效應(yīng)。 中國(guó)學(xué)者關(guān)于國(guó)內(nèi)證券市場(chǎng)上的動(dòng)量效應(yīng)及反轉(zhuǎn)效應(yīng)的研究時(shí),普遍認(rèn)為在中國(guó)的證券市場(chǎng)上的動(dòng)量效應(yīng)存在于短期,反轉(zhuǎn)效應(yīng)存在于長(zhǎng)期。在對(duì)中國(guó)證券市場(chǎng)上的動(dòng)量效應(yīng)及反轉(zhuǎn)效應(yīng)進(jìn)行研究時(shí),形成期與持有期一般采用周或者月進(jìn)行劃分。而在對(duì)于動(dòng)量效應(yīng)的成因上,有學(xué)者從市場(chǎng)結(jié)構(gòu)、市場(chǎng)周期、交易量、個(gè)股特征等多方面進(jìn)行了解釋,但是目前還未有對(duì)于中國(guó)證券市場(chǎng)的動(dòng)量效應(yīng)及反轉(zhuǎn)效應(yīng)成因的統(tǒng)一的解釋。 國(guó)內(nèi)研究者對(duì)于證券市場(chǎng)的動(dòng)量效應(yīng)及反轉(zhuǎn)效應(yīng)的研究,大多數(shù)都集中與主板市場(chǎng),而對(duì)于本文所研究的中小板市場(chǎng)探討較少。而筆者認(rèn)為中小板市場(chǎng)經(jīng)過(guò)將近10年的發(fā)展,已經(jīng)成為了中國(guó)證券市場(chǎng)上一個(gè)十分重要的組成部分,同時(shí)由于中小板市場(chǎng)本身的特征是非常明顯的,與主板市場(chǎng)有很大不同,所以對(duì)中小板市場(chǎng)的獨(dú)立研究,就顯得特別重要。并且在中小板這10年的發(fā)展中,已經(jīng)為研究提供了充分的數(shù)據(jù)使得研究可行,因此本文選取中國(guó)中小企業(yè)板為研究對(duì)象,對(duì)其進(jìn)行研究動(dòng)量效應(yīng)及反轉(zhuǎn)效應(yīng)的相關(guān)驗(yàn)證,爭(zhēng)取能夠?yàn)閲?guó)內(nèi)相關(guān)的研究提供更多的信息。 本文的主要研究方法為,首先借鑒JegadeeshTitman(1993)的研究方法,對(duì)中國(guó)中小板市場(chǎng)2005年12月9日至2013年12月31日間符合條件的的中小板股票,共計(jì)161支進(jìn)行驗(yàn)證。本文設(shè)定的形成期(J)為：1周,3周,6周,9周,12周；持有期(K)為：1周,3周,6周,9周,12周。通過(guò)交叉組合共形成25種組合策略。同時(shí)為增強(qiáng)數(shù)據(jù)的有效性和意義,本文采取重疊抽樣(overlapping periods)的方法。具體為在每個(gè)t周開(kāi)始時(shí),股票將根據(jù)過(guò)去J期的的超額收益率進(jìn)行降序排序,根據(jù)排序,前十分位為贏者組合,后十分位為輸者組合,買(mǎi)入贏者組合,賣(mài)出輸者組合,持有這一頭寸K期構(gòu)建一組動(dòng)量即期投資策略組合(J,O,K)。同時(shí),由于JegadeeshLehammn(1990)在研究中之初,股票的買(mǎi)賣(mài)價(jià)差,領(lǐng)先—滯后效應(yīng),價(jià)格壓力等會(huì)影響到股票的收益率情況。因此,本文還將構(gòu)建持有期較形成期滯后一周的,滯后一周動(dòng)量效應(yīng)組合(J,1,K)。并且在此基礎(chǔ)上對(duì)不同市場(chǎng)周期下的動(dòng)量組合的表現(xiàn)作出了檢驗(yàn)。最后,本文根據(jù)相關(guān)實(shí)證結(jié)果,運(yùn)用改進(jìn)后的行為金融學(xué)的HS模型對(duì)結(jié)果做出解釋。 本文的實(shí)證結(jié)果發(fā)現(xiàn),我國(guó)中小板市場(chǎng)存在著明顯的動(dòng)量效應(yīng)。在極短期內(nèi)(形成期與持有期1周之內(nèi))有著反轉(zhuǎn)效應(yīng)的存在,但是隨著期限的延長(zhǎng),反轉(zhuǎn)效應(yīng)消失,動(dòng)量效應(yīng)變得明顯。動(dòng)量效應(yīng)的來(lái)源主要是來(lái)自于組合中的贏者組合,說(shuō)明贏者組合在中小板市場(chǎng)上的動(dòng)量效應(yīng)中起著主導(dǎo)的作用。在結(jié)果中,還發(fā)現(xiàn),動(dòng)量組合的收益與顯著性隨著持有期的延長(zhǎng)而增長(zhǎng),但是達(dá)到9-12周,增速會(huì)明顯的放緩。而通過(guò)驗(yàn)證滯后一周之后的動(dòng)量組合,我們發(fā)現(xiàn)中小板市場(chǎng)上的動(dòng)量組合更為顯著,極短期內(nèi)的反轉(zhuǎn)效應(yīng)也消失了。這在一方面證實(shí)了我國(guó)中小板市場(chǎng)上動(dòng)量效應(yīng)的存在以及在許多研究中提到的滯后一期的動(dòng)量組合會(huì)表現(xiàn)更好,另一方面也說(shuō)明了我國(guó)中小板市場(chǎng)的反轉(zhuǎn)周期極短。 在對(duì)中小板市場(chǎng)做分段檢驗(yàn)時(shí),我們發(fā)現(xiàn)在不同的市場(chǎng)周期中,動(dòng)量組合的表現(xiàn)差異很大。在整體的牛市周期中,動(dòng)量組合表現(xiàn)出了顯著的動(dòng)量效應(yīng)；而在分段的牛市周期中,動(dòng)量組合出現(xiàn)了動(dòng)量效應(yīng)、反轉(zhuǎn)效應(yīng)、動(dòng)量效應(yīng)交替出現(xiàn)的特征。在整體的熊市階段,動(dòng)量組合表現(xiàn)出了顯著的反轉(zhuǎn)效應(yīng)；在分段的熊市周期中,動(dòng)量組合在一階段熊市周期中出現(xiàn)了反轉(zhuǎn)效應(yīng),在二階段的熊市周期中則不明顯。這說(shuō)明了我國(guó)中小板市場(chǎng)上的動(dòng)量效應(yīng)與反轉(zhuǎn)效應(yīng)與市場(chǎng)周期有著緊密的聯(lián)系。 隨后本文使用了改進(jìn)之后的HS模型對(duì)本文的研究結(jié)果做出了相應(yīng)的解釋,在標(biāo)準(zhǔn)的HS模型中加入了新的投資者類(lèi)型“特殊動(dòng)量交易者”,討論了不同的交易者在各個(gè)階段的交易行為會(huì)怎樣作用于動(dòng)量效應(yīng)。結(jié)果發(fā)現(xiàn),在極短期內(nèi)的反轉(zhuǎn)效應(yīng)主要是由于特殊動(dòng)量交易者打壓股價(jià),以及普通動(dòng)量交易者對(duì)信息的反應(yīng)過(guò)度；在極短期之后的動(dòng)量效應(yīng)主要是由于信息觀察者對(duì)信息的反應(yīng)不足,以及普通動(dòng)量交易者、特殊動(dòng)量交易者采取的動(dòng)量交易策略；在持有期達(dá)到9-12周,增速明顯放緩,動(dòng)量效應(yīng)依然存在時(shí)但已經(jīng)開(kāi)始減弱時(shí),是因?yàn)樘厥饨灰渍叩奶摷僭靹?shì),秘密出貨以及普通交易者的盲目跟進(jìn)所造成的。隨后分析了在模型中出現(xiàn)的三類(lèi)不同的投資者在我國(guó)證券市場(chǎng)上的地位。根據(jù)本文的研究結(jié)果及解釋,筆者在文中最后給出了相關(guān)的政策建議,希望在在中小板市場(chǎng)中保護(hù)中小投資者的利益及嚴(yán)厲打擊市場(chǎng)中人為操縱的行為。 本文的研究結(jié)果也有著一定的不足,一方面是前提假定與現(xiàn)實(shí)的不完全符合,本文的結(jié)果是在假定中小板市場(chǎng)中交易成本為零,且證券買(mǎi)賣(mài)數(shù)量細(xì)分的前提下得出的,而這一點(diǎn)在現(xiàn)實(shí)中很難滿(mǎn)足；另一方面,文中對(duì)于動(dòng)量效應(yīng)的成因的分析不夠深入,得出的解釋還需要進(jìn)一步地深入。 從整體上看,本文的研究對(duì)于中國(guó)整個(gè)市場(chǎng)有效性的探討是有意義的及作出了相關(guān)的補(bǔ)充的。希望本文對(duì)于中小板的研究能夠?qū)χ靼迨袌?chǎng)的相關(guān)研究起到一定的補(bǔ)充作用,對(duì)創(chuàng)業(yè)板的相關(guān)研究有著一定的啟發(fā)及借鑒的作用。
[Abstract]:Efficient market hypothesis (Efficient Market Hypothesis) is considered the foundation of modern finance, it is proposed for modern finance in many important theories and models, such as the construction of the capital asset pricing model, and provides a theoretical basis. The efficient market hypothesis holds that investors are in the premise of rational agents, all the information in the market can be obtained and these investors, information can quickly, accurately reflect in the stock price. The stock price is random walk, so no matter how investors choose investment strategy of their own, are not able to obtain excess profits, so the passive investment is the best investment strategy. Then according to the Fama Market the degree of effectiveness, the market will be divided into three categories: weak efficient market, semi strong efficient market and strong efficient market; and market information is divided into: history information, Public information and public information. The weak effective market stock price contains all the historical information, investors can not through the study of historical data to obtain excess returns; semi strong efficient market refers to the market price not only contains all the historical information of the weak efficient market, also includes the relevant public information and all of the company's investors, nor through the information to obtain excess returns; strong effective market refers to a market price and contains all the information, including historical information, public information and the information is not public, investors can obtain excess returns.
However, with the development of research, scholars have found that the real market is indeed there is a great gap with the efficient market hypothesis. First, investors are not always rational, the proportion of noise traders in the market is quite large; secondly, investors in the market are decision-making inertia, generated by the irrational trading and cannot be eliminated because of a large number of random transactions. And in the empirical research, scholars have found that many market anomalies, the market anomalies were not explained by the efficient market hypothesis and the traditional capital asset pricing model, but the impact on the efficient market hypothesis.
In this many market anomalies, the momentum effect and reversal effect is the typical representative of.De BondtThaler (1985) on the research of the New York stock exchange 1926-1982 years of trading data, first verify the reversal effect on the U.S. stock market; momentum effect is by JagadeeshTitman (1993) on the NYSE the American Stock Exchange and transaction data of the 1965-1989 verification of the securities markets in the United States had momentum. On this basis, later scholars and other countries on the market for the momentum effect and reversal effect was verified as well as in trading volume, market cycle, test the robustness of variable factors such as regional countries under and. Try to use the theory of pricing model and behavioral finance to the causes of momentum effect and reversal effect to explain. In the behavioral model, is generally believed that the momentum effect Is due to the reaction caused by insufficient, because investors reacted to the market information lag, so the winners share price is lower than the intrinsic price; while the reversal effect is due to the reaction caused by the excessive, because the market overreaction, the price is higher than the internal price, but as time progresses, the stock price will eventually return to the intrinsic value. Thus forming a reverse effect.
Study on momentum effect China scholars on the domestic stock market and the reversal effect, momentum effect in China generally believe that the securities market exists in the short term, the reversal effect exists in the long term. Study on momentum effect of Chinese on the securities market and the reversal effect, the formation period and holding period by the week or month division. While in the causes of momentum effect, some scholars from the market structure, market cycle, trading volume, stock characteristics and other aspects of interpretation, but there is no unified Chinese for momentum effect in the securities market and the reversal effect of explanations of the causes.
Study on the momentum effect of stock market and the reversal effect of domestic researchers, most of them are concentrated with the motherboard market, but for the small and medium-sized market research in this paper is less discussed. The author believes that after nearly 10 years of development of small and medium-sized market, has become the China securities market is an important part of, at the same time due to the characteristics of small and medium-sized market itself is very obvious, is very different from the motherboard market, so the independent research of small and medium-sized board market, it is particularly important. In the small board and the 10 years of development, the research has provided sufficient data makes it feasible, therefore this paper selects Chinese SME board as the research object, related research and verification on the momentum effect contrarian effect, and strive to be able to provide more information for the domestic related research.
The main methods for this study, the first reference JegadeeshTitman (1993) the research methods of small and medium-sized board stock market from December 9, 2005 to December 2013 China small plates 31 day in line with the conditions, a total of 161 validated. This paper set the formation stage (J) for 1 weeks, 3 weeks, 6 weeks, 9 weeks, 12 week; holding period (K) for 1 weeks, 3 weeks, 6 weeks, 9 weeks, 12 weeks. The cross combinations were formed 25 kinds of combination strategies. At the same time in order to enhance the data validity and significance, this paper adopts overlapping sampling (overlapping periods) method. The t at the beginning of each week. The stock will be the basis of past excess returns J phase rate in descending order, according to the order, is the former for the winners, is for losers, buying winners, selling losers, holding this position K to build a set of momentum investment strategy at sight (J, O, K) at the same time, due to the JegadeeshL Ehammn (1990) in the study of the early trading in the stock price, lead lag effect, price pressure will affect the stock return. Therefore, this paper will construct the holding period is the formation period lag a week, a week lag momentum portfolio (J, 1, K). The combination of momentum on the performance of different market cycles and on the basis of making test. Finally, according to the empirical results, using the HS model of behavioral finance improved the interpretation of the results.
The empirical results show that China's small and medium-sized market exists significant momentum effect. In the very short term (the formation period and holding period of 1 weeks) has a reverse effect, but with the extension of time, the reversal effect disappears, the momentum effect becomes obvious. The source of the momentum effect is mainly derived from the combination of the winners, that plays a leading role in the small and medium-sized board momentum winners on the market. Also found in the results, and the significant revenue growth momentum as the holding period extended, but at 9-12 weeks, the growth rate will slow down significantly. The lag momentum a week after verification we found that the combination of small and medium-sized board market momentum is more obvious, the reversal effect of the very short term, also disappeared. This confirms the momentum of China's small and medium-sized board on the market and in many studies in hand The momentum combination of the lagging one will perform better. On the other hand, it also shows that the reverse cycle of the small and medium plate markets in China is very short.
In subsection test of small and medium-sized board market, we find that in different market cycles, differences of momentum portfolios greatly. In the overall bull market cycle, the momentum portfolios showed significant momentum effect; while in the segmented bull market cycle, the combination of momentum momentum effect and reversal effect, momentum effect the alternation of characteristics. In the phase of the bear market overall, momentum showed a significant reversal effect; in the section of the bear market cycle, the momentum reversal effect in a bear market cycle stage, in the two phase of the Xiong Shizhou period was not obvious. This shows that the momentum effect in China's SME board on the market and the reversal effect and market cycles are closely linked.
Then this paper uses the HS model to improve the results of this paper is to make the explanation, adding a new type of investors "special momentum traders" in the standard HS model, discusses the trading behavior of different traders in various stages of what will effect on the momentum effect. The results showed that the inversion effect in the very short term the main is due to the special momentum traders price pressure, and ordinary momentum traders react to information excessive; momentum effect in a very short after the information is mainly due to the observer response to the lack of information, as well as ordinary momentum traders, momentum momentum traders take special trading; in the holding period up to 9-12 weeks, growth is slowing down the momentum effect still exists, but has been weakened, because false campaign special traders, secret shipments and ordinary traders Blindly follow caused. Then analyze the status of three different types of investors in the model in Chinese stock market. According to the results of this study and interpretation, the author finally gives relevant policy suggestions, in the hope that the protection of the interests of small investors in small and medium-sized board market and crack down on the market in the manipulation behavior.
The results of this study also have some problems, one is the premise and the reality of the not entirely consistent with the result of this paper is on the assumption that the small and medium-sized board market transaction cost is zero, and the number of segments of the securities trading under the premise, which in reality is very difficult to meet; on the other hand, analysis of the causes for the momentum effect in this paper is not deep enough, it also needs further explanation.
On the whole, this research is meaningful and has made the relevant supplement to explore the effectiveness of China whole market. I hope this research for small and medium-sized plate related research on the main market play a complementary role, has a certain inspiration and reference of the related study on GEM.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F832.51

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