發(fā)布時(shí)間：2018-03-10 00:32

  本文選題：有效市場(chǎng)假說(shuō)　切入點(diǎn)：動(dòng)量效應(yīng)　出處：《復(fù)旦大學(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)認(rèn)為證券的價(jià)格已經(jīng)反映了市場(chǎng)上的所有消息,投資者不可能通過(guò)這些消息獲得超額利潤(rùn)。然而,動(dòng)量效應(yīng)、反轉(zhuǎn)效應(yīng)、日歷效應(yīng)等價(jià)格異象的存在對(duì)有效市場(chǎng)假說(shuō)提出了挑戰(zhàn)。動(dòng)量效應(yīng)就是過(guò)去表現(xiàn)好(差)的股票將來(lái)會(huì)繼續(xù)表現(xiàn)(差)。構(gòu)造動(dòng)量策略需要賣(mài)空輸者組合,在以往的中國(guó)股市無(wú)法實(shí)現(xiàn),但是個(gè)股期權(quán)的即將推出將使動(dòng)量策略變?yōu)楝F(xiàn)實(shí)。本文首先介紹了作為標(biāo)準(zhǔn)金融學(xué)的基石有效市場(chǎng)假說(shuō),給出其適用條件。通過(guò)動(dòng)量效應(yīng)等價(jià)格異象引出了標(biāo)準(zhǔn)金融學(xué)的局限性。介紹新的流派行為金融學(xué)派及其對(duì)價(jià)格異象的合理解釋。隨后進(jìn)入A股動(dòng)量效應(yīng)的分板塊實(shí)證分析。首先實(shí)證分析整個(gè)大盤(pán)分別在牛市行情、熊市行情和完整周期的動(dòng)量效應(yīng)。然后分別對(duì)創(chuàng)業(yè)板、中小市值和藍(lán)籌板塊進(jìn)行同樣的實(shí)證分析。得出三個(gè)結(jié)論：一是中小板和創(chuàng)業(yè)板的動(dòng)量收益明顯比整個(gè)大盤(pán)還有藍(lán)籌成分股顯著；二是在熊市的動(dòng)量效應(yīng)比在牛市要更顯著；三是創(chuàng)業(yè)板的動(dòng)量收益從短期(1周到6周)來(lái)看和中小板比較類(lèi)似,均很顯著,但是中期(12周)來(lái)看中小板動(dòng)量效應(yīng)依然顯著,但是創(chuàng)業(yè)板怎么沒(méi)有動(dòng)量效應(yīng),甚至出現(xiàn)一定程度上的反轉(zhuǎn)效應(yīng)。接著通過(guò)分析我國(guó)股票市場(chǎng)同歐美發(fā)達(dá)市場(chǎng)的差異,得出我國(guó)股票市場(chǎng)具有機(jī)構(gòu)投資者比重過(guò)低、投機(jī)氛圍濃厚和缺乏做空工具三個(gè)特點(diǎn),這些會(huì)加劇我國(guó)市場(chǎng)的動(dòng)量效應(yīng)。通過(guò)擴(kuò)展Hong和Stein的HS模型引入新的一類(lèi)投資者：技術(shù)動(dòng)量交易者,這類(lèi)投資者類(lèi)似于國(guó)內(nèi)坐莊的陽(yáng)光私募機(jī)構(gòu),即有消息又能夠做線(xiàn)引導(dǎo)散戶(hù),從而利用擴(kuò)展的HS模型對(duì)創(chuàng)業(yè)板和中小板中短期的動(dòng)量效應(yīng)做出解釋。文章的最后總結(jié)了結(jié)論,提出了一些研究上的不足之處并給出改進(jìn)辦法,包括：采用分解的方法對(duì)動(dòng)量收益來(lái)元做實(shí)證研究、在中小板或創(chuàng)業(yè)板的FF3因子模型中引入動(dòng)量,觀(guān)察R方有沒(méi)有顯著增大,考慮有交易成本情況下的動(dòng)量效應(yīng)是否依然顯著。
[Abstract]:The efficient Market hypothesis assumes that the price of securities already reflects all the information on the market, and that investors cannot make excess profits from these information. However, the momentum effect, the reversal effect, The existence of price anomalies such as calendar effect challenges the efficient market hypothesis. In the past, China's stock market could not be realized, but the coming out of individual stock option will make the momentum strategy come true. This paper first introduces the efficient market hypothesis, which is the cornerstone of standard finance. The limitations of standard finance are introduced through price anomalies such as momentum effect. The new school of behavioral finance and its reasonable explanation for price anomalies are introduced. First of all, empirical analysis of the whole market in the bull market, The momentum effect of the bear market and the complete cycle. This paper makes the same empirical analysis between small and medium market value and blue chip plate. Three conclusions are drawn: first, the momentum income of small and medium sized board and growth enterprise board is significantly higher than that of the whole market and blue-chip stocks, the second is that the momentum effect in bear market is more significant than in bull market; Third, the momentum income of the gem is similar to that of the small and medium-sized boards from a short period of 1 to 6 weeks. All of them are very significant, but in the middle of 12 weeks, the momentum effect of the small and medium-sized boards is still significant, but why does the gem have no momentum effect? By analyzing the differences between China's stock market and developed markets in Europe and the United States, it is concluded that China's stock market has three characteristics: the low proportion of institutional investors, the strong speculative atmosphere and the lack of short selling tools. By extending the HS model of Hong and Stein, we introduce a new class of investors: technical momentum traders, who are similar to domestic sun private equity firms. That is to say, it is possible to guide retail investors by making use of the extended HS model to explain the short term momentum effect in the gem and the small and medium sized boards. Finally, the conclusion is summarized, some deficiencies in the research are put forward and the improvement methods are given. Including: using decomposition method to do empirical research on momentum income source, introducing momentum into the FF3 factor model of small and medium-sized board or growth enterprise board, observing whether R side increases significantly or not, considering whether momentum effect is still significant under transaction cost.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

【共引文獻(xiàn)】

相關(guān)期刊論文 前6條

1 盧斌;陳之遠(yuǎn);;行為統(tǒng)計(jì)套利模型在中國(guó)股票市場(chǎng)中的應(yīng)用[J];南京林業(yè)大學(xué)學(xué)報(bào)(人文社會(huì)科學(xué)版);2012年02期

2 寧欣;王志強(qiáng);;基于殘差收益的動(dòng)量或反轉(zhuǎn)效應(yīng):來(lái)自中國(guó)A股市場(chǎng)的經(jīng)驗(yàn)證據(jù)[J];投資研究;2012年12期

3 楊斌;劉小波;史文t，

本文編號(hào)：1590995