發(fā)布時間：2018-03-30 22:14

  本文選題：動量效應(yīng)　切入點：反轉(zhuǎn)效應(yīng)　出處：《廈門大學》2014年碩士論文

【摘要】：有效市場假說認為,所有可獲得的信息都已在價格中充分體現(xiàn),投資者不可能通過分析已有信息獲得超額收益。各類金融異象表明有效市場假說或許并不成立。大多數(shù)金融異象在發(fā)現(xiàn)后都會引起投資者的廣泛關(guān)注,進而逐漸消失,但目前依然沒有證據(jù)表明動量效應(yīng)和反轉(zhuǎn)效應(yīng)已經(jīng)消失或正在消失,故而引起了大量研究者的興趣。目前,針對美國等成熟市場的研究表明動量效應(yīng)主要存在于3-12個月的觀察期和持有期,而反轉(zhuǎn)效應(yīng)則存在于1年以上。 我國股票市場成立二十余年,規(guī)模和效率都發(fā)生了翻天覆地的變化,在我國經(jīng)濟發(fā)展中起到舉足輕重的作用。對我國股市的規(guī)律變化進行全面的研究,得出清晰可信的結(jié)論是十分必要的,不僅能促進投資者理性操作,促進市場有效發(fā)展,對于制度的制定者設(shè)計實施更有利于市場正常運行的管理機制也有十分重要的意義。而檢驗動量效應(yīng)和反轉(zhuǎn)效應(yīng)是否存在,驗證弱有效市場假說是否成立是這類研究很好的基礎(chǔ)和開端。 本文首先對國內(nèi)外現(xiàn)有相關(guān)研究進行總體回顧,然后將過去20年的股票市場交易數(shù)據(jù)按照股市漲跌形態(tài)分為四個階段,分別以不同的研究方法分析年、月、周、日四類檢驗周期上是否存在動量效應(yīng)或反轉(zhuǎn)效應(yīng),并分析其變化規(guī)律。 本文研究發(fā)現(xiàn)：在2-5年的檢驗周期,我國股市存在顯著的反轉(zhuǎn)效應(yīng)；3-12個月為檢驗周期并未觀察到動量效應(yīng)或反轉(zhuǎn)效應(yīng),1-2個月為觀察期時存在微弱的反轉(zhuǎn)效應(yīng)；以周為檢驗周期的數(shù)據(jù)顯示,早期在極少數(shù)觀察期持有期組合中存在微弱的動量效應(yīng),隨著時間的推移,動量效應(yīng)逐步消失,反轉(zhuǎn)效應(yīng)出現(xiàn)并越來越顯著；以日為檢驗周期,股權(quán)分置改革前,牛市熊市都只存在隔夜動量效應(yīng),股權(quán)分置改革后動量效應(yīng)和反轉(zhuǎn)效應(yīng)都有所加強,其中牛市動量效應(yīng)更強,而熊市則是反轉(zhuǎn)效應(yīng)占主導。動量效應(yīng)主要存在于觀察期為1-2個交易日的組合,反轉(zhuǎn)效應(yīng)則多存在于中等長度的觀察期和持有期組合。
[Abstract]:The efficient Market hypothesis states that all available information is fully reflected in the price. It is impossible for investors to obtain excess returns by analyzing the information they already have. All kinds of financial anomalies suggest that the efficient market hypothesis may not be true. Most financial anomalies will cause widespread concern among investors when they are discovered, and then gradually disappear. However, there is still no evidence that the momentum effect and the reversal effect have disappeared or are disappearing, which has aroused the interest of a large number of researchers. Studies on mature markets such as the United States show that the momentum effect mainly exists in the observation period and holding period of 3-12 months, while the reverse effect exists in more than one year. The stock market of our country has been established for more than 20 years. The scale and efficiency of the stock market have changed dramatically and played an important role in the economic development of our country. It is necessary to draw a clear and credible conclusion, not only to promote the rational operation of investors, but also to promote the effective development of the market. It is also of great significance for system makers to design and implement regulatory mechanisms that are more conducive to the normal functioning of the market. To verify the validity of the weak efficient market hypothesis is a good basis and the beginning of this kind of research. In this paper, we first review the existing relevant research at home and abroad, and then divide the stock market trading data of the past 20 years into four stages according to the stock market patterns, and analyze the year, month, week with different research methods. Whether there is momentum effect or reversal effect in the four kinds of days is tested, and its variation law is analyzed. In this paper, it is found that in the test period of 2-5 years, there is a significant reversal effect in China's stock market. No momentum effect or weak reversal effect is observed in the test period of 3-12 months. The weekly data showed that there was a weak momentum effect in a few observation periods, and the momentum effect disappeared gradually and the reverse effect appeared and became more and more significant with the passing of time. Before the reform of split share structure, there was only overnight momentum effect in bull market and the momentum effect and reversal effect were strengthened after the reform of split share structure, among which the momentum effect of bull market was stronger. While the bear market is dominated by reverse effect, momentum effect mainly exists in the combination of 1-2 trading days in the observation period, and the reverse effect mostly exists in the combination of the observation period and the holding period.
【學位授予單位】：廈門大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1687879