本文關鍵詞： 動量效應 收益率 成交量 中國股市 投資組合　出處：《南京理工大學》2013年碩士論文　論文類型：學位論文

【摘要】：動量效應是微觀金融學對有效市場假說進行檢驗的必要條件,也是投資者特別是機構投資者慣常采用的一種選股策略。相關實證研究的結果顯示,不同市場采用同樣變量與方法,對動量效應的檢測結果不同；同一市場采用不同的變量與方法,對動量效應的檢測結果也不相同。表明動量效應的檢測需要構建與研究對象相適應的理論框架。對中國股市發(fā)展進程以及相關實證研究結果表明,中國股市在20多年的發(fā)展過程中,具有顯著的擴容特征,因而有必要構建基于成交量的中國股市動量效應檢測模型。 首先,本文以2000年1月到2011年12月期間上海證券交易所和深圳證券交易所全部股票的周收益率為樣本,采用重疊抽樣的方法,對我國證券市場的動量效應進行實證研究。結果表明,我國證券市場不存在動量效應,各個期限的形成期和持有期動量效應收益和T檢驗均不明顯；以股改為分水嶺,股改之前只有形成期和持有期在3周以內(nèi)才有動量效應,而股改以后動量效應顯著不存在；其次,在加入成交量調(diào)整周收益率后對上述樣本重新進行檢測,結果顯示我國股票市場在任何時間段均不存在動量效應；最后,對照加入成交量調(diào)整收益率的實證結果與未加入成交量調(diào)整的實證結果的進一步分析,發(fā)現(xiàn)各組合動量策略的收益前者均顯著小于后者。 本文研究結果的含義是：從理論上看關于我國股票市場動量效應的研究還存在很大局限,這主要是因為股票市場的樣本區(qū)間不夠長,各階段樣本公司數(shù)量分布不均衡；從實踐上看,在任何形成期和持有期范圍內(nèi),如果采用股票歷史收益率和股票成交量的選股策略,將會面臨虧損,而且,隨著形成期和持有期的延長,股票投資者的損失會隨之變大。這一解釋有助于理解我國股票市場上長期大量存在短期交易行為的現(xiàn)象。
[Abstract]:Momentum effect is a necessary condition for microfinance to test the efficient market hypothesis, and it is also a stock selection strategy used by investors, especially institutional investors. Different markets use the same variables and methods to detect momentum effects, and the same market uses different variables and methods. The testing results of momentum effect are also different. It shows that the detection of momentum effect needs to construct a theoretical framework suitable to the object of study. The development process of Chinese stock market and the related empirical research results show that, The development of Chinese stock market in the course of more than 20 years, has the remarkable expansion characteristic, therefore, it is necessary to construct the momentum effect detection model based on the trading volume in the Chinese stock market. First of all, this paper takes the weekly return rate of all the stocks of Shanghai Stock Exchange and Shenzhen Stock Exchange from January 2000 to December 2011 as a sample, and adopts the method of overlapping sampling. The results show that there is no momentum effect in the stock market of China, and the momentum effect returns and T tests of each maturity period are not obvious, and the stock is changed into a watershed, the result shows that there is no momentum effect in the stock market in China, and there is no momentum effect in the stock market in China. Before the stock reform, only the forming period and the holding period have momentum effect within 3 weeks, but the momentum effect does not exist significantly after the stock reform. Secondly, after adding the trading volume to adjust the weekly rate of return, the above samples are re-tested. The results show that there is no momentum effect in Chinese stock market in any time period. It is found that the former is significantly smaller than the latter. The implication of this study is: theoretically speaking, there are still some limitations in the research on momentum effect of stock market in China, which is mainly due to the fact that the sample range of stock market is not long enough, and the distribution of sample companies is not balanced in each stage; In practice, in any period of formation and holding, if the stock selection strategy of historical rate of return and trading volume of stock is adopted, it will face losses, and with the extension of the forming period and the holding period, The loss of stock investors will increase with it. This explanation is helpful to understand the phenomenon that there is a large number of short-term trading behaviors in China's stock market for a long time.
【學位授予單位】：南京理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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