本文選題：行為金融學(xué)　切入點(diǎn)：動(dòng)量效應(yīng)　出處：《浙江工商大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：自20世紀(jì)50年代有效市場(chǎng)假設(shè)提出以來(lái),股票市場(chǎng)的有效性一直是學(xué)術(shù)界關(guān)注的重點(diǎn)。一些客觀存在的股市異象對(duì)有效市場(chǎng)假設(shè)提出了嚴(yán)峻的挑戰(zhàn),其中一種已被證實(shí)存在的異象就是所謂的“動(dòng)量效應(yīng)”或“反轉(zhuǎn)效應(yīng)”。那么中國(guó)股市作為一個(gè)新興的、不斷發(fā)展中的市場(chǎng),是否也和美國(guó)、德國(guó)、日本等發(fā)達(dá)國(guó)家一樣存在著顯著的動(dòng)量效應(yīng)或反轉(zhuǎn)效應(yīng)；如果存在動(dòng)量效應(yīng)或反轉(zhuǎn)效應(yīng),那么動(dòng)量效應(yīng)或反轉(zhuǎn)效應(yīng)所產(chǎn)生的原因是什么? 本文針對(duì)上述兩個(gè)問(wèn)題展開(kāi)研究,全文共分五個(gè)部分。第一部分為緒論；該部分簡(jiǎn)要介紹了研究背景、研究目的和意義并對(duì)相關(guān)研究文獻(xiàn)進(jìn)行了綜述。第二部分為理論基礎(chǔ)；該部分以行為金融學(xué)模型為基礎(chǔ),對(duì)動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)的形成機(jī)制進(jìn)行探討,并對(duì)研究原理、研究方法進(jìn)行分析。第三部分為實(shí)證研究；該部分通過(guò)構(gòu)造動(dòng)量投資組合,從總體到分市場(chǎng)對(duì)中國(guó)股市的動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)進(jìn)行實(shí)證檢驗(yàn),結(jié)果表明：總體上,中國(guó)股市短期存在顯著的動(dòng)量效應(yīng),長(zhǎng)期呈現(xiàn)反轉(zhuǎn)效應(yīng)。第四部分為動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)的成因分析；該部分首先對(duì)中國(guó)股市投資者的整體狀況和行為特征進(jìn)行概述,接著應(yīng)用Jegadeesh和Titman(2001)的檢驗(yàn)方法對(duì)中國(guó)股市動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)的成因進(jìn)行分析,分析認(rèn)為造成中國(guó)股市短期動(dòng)量效應(yīng)、長(zhǎng)期反轉(zhuǎn)效應(yīng)的根本原因是投資者的過(guò)度反應(yīng)。具體地說(shuō)是中國(guó)股市投資者對(duì)于政策的過(guò)度反應(yīng)；本文結(jié)合中國(guó)傳統(tǒng)文化,從心理因素的角度對(duì)“政策市”的形成和投資者在“政策市”中的投資心態(tài)進(jìn)行剖析,以更好的解釋這種過(guò)度反應(yīng)。第五部分為全文的總結(jié)和建議。該部分首先清晰地指出了全文的主要結(jié)論,然后提出政策性建議,最后對(duì)進(jìn)一步的研究進(jìn)行了展望。
[Abstract]:Since the efficient market hypothesis was put forward in 1950s, the effectiveness of stock market has been the focus of academic attention. Some objective stock market anomalies have posed a severe challenge to the efficient market hypothesis. One of the anomalies that has been proved to exist is the so-called "momentum effect" or "reversal effect." well, as an emerging and developing market, is the Chinese stock market also in line with the United States and Germany? Japan and other developed countries have significant momentum effect or reversal effect; if there is momentum effect or reversal effect, what is the cause of momentum effect or reversal effect? The thesis is divided into five parts: the first part is the introduction, the first part introduces the research background, the purpose and significance of the research, and the related research literature is summarized. The second part is the theoretical basis. Based on behavioral finance model, this part discusses the formation mechanism of momentum effect and reversal effect, and analyzes the research principle and research methods. The third part is empirical research. The momentum effect and reverse effect of Chinese stock market are tested from the whole to the sub-market. The results show that the momentum effect of the Chinese stock market is significant in the short term. The 4th part is the analysis of momentum effect and reversal effect. This part first summarizes the overall situation and behavior characteristics of Chinese stock market investors. Then using the test method of Jegadeesh and Titmanton 2001, the author analyzes the causes of momentum effect and reverse effect of Chinese stock market, and concludes that the short-term momentum effect of Chinese stock market is caused. The fundamental cause of the long-term reversal effect is the overreaction of investors. Specifically, the overreaction of Chinese stock market investors to the policy. From the perspective of psychological factors, the formation of "policy city" and the investment mentality of investors in "policy city" are analyzed. A better explanation of this overreaction is given. Part 5th is the summary and suggestion of the full text. This part points out the main conclusions of the paper clearly, then puts forward some policy suggestions, and finally looks forward to further research.
【學(xué)位授予單位】：浙江工商大學(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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