本文關(guān)鍵詞： 傳統(tǒng) 動量策略 反轉(zhuǎn)策略 贏家組合 輸家組合 K近鄰 增強(qiáng)　出處：《杭州電子科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：上個(gè)世紀(jì)八十年代，有效市場假設(shè)理論不能解釋證券市場上出現(xiàn)反應(yīng)不足和過度反應(yīng)的異�，F(xiàn)象。行為金融學(xué)者認(rèn)為證券市場上出現(xiàn)反應(yīng)不足和過度反應(yīng)是因?yàn)橥顿Y者對于證券市場上的信息的認(rèn)知存在偏差，證券投資者的反應(yīng)不足和過度反應(yīng)造成市場上的證券價(jià)格的動量效應(yīng)和反轉(zhuǎn)效應(yīng)。無論是發(fā)達(dá)的歐美證券市場，還是發(fā)展中的我國證券市場，均存在動量效應(yīng)和反轉(zhuǎn)效應(yīng)。本文以我國A股市場存在動量效應(yīng)和反轉(zhuǎn)效應(yīng)為前提，考察傳統(tǒng)動量策略和反轉(zhuǎn)策略收益的同時(shí)，對傳統(tǒng)的方法做出改進(jìn)探索。 考察傳統(tǒng)動量策略和反轉(zhuǎn)策略的收益情況時(shí)，利用A股市場2008年1月1日至2013年6月1日的日交易數(shù)據(jù)，對這個(gè)時(shí)間區(qū)間內(nèi)的入選編制滬深300指數(shù)的股票作為研究對象。不考慮賣空機(jī)制的情況下，，運(yùn)用傳統(tǒng)動量策略和反轉(zhuǎn)策略，形成期采用重疊取樣方法，持有期采用非重疊取樣方法，根據(jù)股票在形成期的累積收益率的大小構(gòu)造贏家組合和輸家組合，考察投資策略組合的收益情況。 為提高投資回報(bào)率，本文對傳統(tǒng)的動量策略和反轉(zhuǎn)策略進(jìn)行改進(jìn)探索。傳統(tǒng)動量策略和反轉(zhuǎn)策略在計(jì)算形成期股票的累積收益率時(shí)，嚴(yán)重依賴于形成期期初和期末的價(jià)格，而股票單個(gè)交易日的價(jià)格更多表現(xiàn)為隨機(jī)游走，這種度量方法不一定能得到的真正的贏家或輸家組合。為消除股票單個(gè)交易日的價(jià)格隨機(jī)游走帶來的影響，本文嘗試性將統(tǒng)計(jì)學(xué)知識和數(shù)據(jù)挖掘算法中的K近鄰算法與傳統(tǒng)動量策略和反轉(zhuǎn)策略結(jié)合，形成了簡單增強(qiáng)方法和KNN增強(qiáng)方法。 實(shí)證得出：運(yùn)用傳統(tǒng)動量策略和反轉(zhuǎn)策略進(jìn)行投資時(shí)，動量策略和反轉(zhuǎn)策略均存在正的超額收益；傳統(tǒng)的動量策略和反轉(zhuǎn)策略，持有期相同的情況下，月度收益率隨形成期的增加呈增加趨勢；傳統(tǒng)動量策略的超額收益的均值小于反轉(zhuǎn)策略；在改進(jìn)的方法下，無論是動量策略還是反轉(zhuǎn)策略，兩種增強(qiáng)方法均能提高投資回報(bào)率，KNN增強(qiáng)方法的效果好于傳統(tǒng)動量方法和簡單增強(qiáng)方法。
[Abstract]:-20s, The theory of efficient market hypothesis can not explain the abnormal phenomenon of underreaction and overreaction in the securities market. Behavioral finance scholars believe that the underreaction and overreaction in the securities market is due to investors' reaction to the securities market. There is a bias in the cognition of the information on the. The underreaction and overreaction of securities investors cause the momentum effect and reverse effect of the stock price in the market. Whether it is the developed securities market in Europe or America, or the developing securities market in our country, Based on the premise of momentum effect and reversal effect in China's A-share market, this paper investigates the traditional momentum strategy and inversion strategy, and explores the improvement of the traditional methods at the same time. Using the daily trading data from January 1st 2008 to June 1st 2013 in the A-share market, we investigate the returns of the traditional momentum strategy and reverse strategy. For the stocks selected in this time interval to compile the CSI 300 index as the research object, without considering the short selling mechanism, the traditional momentum strategy and the reverse strategy are used, and the overlapping sampling method is used in the formation period. The non-overlapping sampling method is used in the holding period. According to the size of the cumulative return rate of the stock in the forming period, the winner portfolio and the loser portfolio are constructed to investigate the return of the investment strategy portfolio. In order to improve the rate of return on investment, this paper attempts to improve the traditional momentum strategy and reverse strategy, which depend heavily on the price at the beginning and end of the forming period when calculating the cumulative return rate of the stock in the forming period. The price of a stock on a single trading day is more likely to be a random walk, a measure that does not necessarily result in a real winner or loser combination, in order to eliminate the impact of the random walk of the stock price on a single trading day. This paper attempts to combine the K-nearest neighbor algorithm of statistical knowledge and data mining algorithm with the traditional momentum strategy and inversion strategy to form a simple enhancement method and a KNN enhancement method. The empirical results show that the momentum strategy and the reversal strategy have positive excess returns when using the traditional momentum strategy and the reverse strategy, and the traditional momentum strategy and the reversal strategy have the same holding period. The monthly rate of return increases with the increase of the formation period; the average value of the excess return of the traditional momentum strategy is smaller than that of the reverse strategy; under the improved method, the momentum strategy or the inversion strategy, Both methods can improve the rate of return on investment and the effect of KNN enhancement method is better than that of traditional momentum method and simple enhancement method.
【學(xué)位授予單位】：杭州電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【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 朱俊;莊新田;;中國A股市場動量效應(yīng)實(shí)證研究[J];東北大學(xué)學(xué)報(bào)(自然科學(xué)版);2010年07期

3 梁冰,顧海英;中國股票市場過度反應(yīng)行為:完整牛市和熊市周期中的實(shí)證[J];東北林業(yè)大學(xué)學(xué)報(bào);2004年03期

4 方立兵;曾勇;郭炳伸;;動量策略、反轉(zhuǎn)策略及其收益率的高階矩風(fēng)險(xiǎn)[J];系統(tǒng)工程;2011年02期

5 裴平,張誼浩;中國股票投資者認(rèn)知偏差的實(shí)證檢驗(yàn)[J];管理世界;2004年12期

6 馮科;鄭琛;;短期動量效應(yīng)與收益反轉(zhuǎn)效應(yīng)研究——基于中國中小板市場數(shù)據(jù)實(shí)證分析[J];財(cái)經(jīng)理論與實(shí)踐;2013年02期

7 張強(qiáng);楊淑娥;戴耀華;;中國股市動量策略和反轉(zhuǎn)策略的實(shí)證分析[J];華東經(jīng)濟(jì)管理;2007年05期

8 張誼浩;;中國股市反向效應(yīng)和動量效應(yīng)的實(shí)證研究[J];經(jīng)濟(jì)管理;2003年22期

9 譚小芬;林雨菲;;中國A股市場動量效應(yīng)和反轉(zhuǎn)效應(yīng):實(shí)證研究及其理論解釋[J];金融評論;2012年01期

10 樊家鳴;;股權(quán)分置改革前后滬深A(yù)股動量和反轉(zhuǎn)效應(yīng)的實(shí)證研究[J];經(jīng)濟(jì)研究參考;2011年53期

本文編號：1542781