本文選題：慣性效應(yīng) + 反轉(zhuǎn)效應(yīng)　； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：慣性效應(yīng)和反轉(zhuǎn)效應(yīng)自發(fā)現(xiàn)后一直受到學(xué)術(shù)界的關(guān)注。本文以滬深A(yù)股交易數(shù)據(jù)為基礎(chǔ),1997-2012年為樣本區(qū)間,對我國的慣性、反轉(zhuǎn)效應(yīng)進(jìn)行實(shí)證研究,并對結(jié)果做綜合分析,提出了自己的假說。本文的研究主要分為兩部分： 首先,本文以周為單位,設(shè)計(jì)了6個(gè)不同的排序期和檢驗(yàn)期,對所有樣本時(shí)間段的數(shù)據(jù)進(jìn)行檢驗(yàn),發(fā)現(xiàn)在所有時(shí)間段內(nèi)股票價(jià)格表現(xiàn)出反轉(zhuǎn)效應(yīng),且排序期和檢驗(yàn)期為1周時(shí)反轉(zhuǎn)效應(yīng)尤其顯著。進(jìn)一步分析各周的超額收益,發(fā)現(xiàn)第一周股票呈現(xiàn)極強(qiáng)的反轉(zhuǎn)效應(yīng),第二周單周的超額收益則呈現(xiàn)慣性效應(yīng),其后各周單周收益的絕對值不斷衰減。對所有時(shí)間段內(nèi)的實(shí)證檢驗(yàn)表明,CAPM模型和三因子模型均無法解釋上述現(xiàn)象�？紤]到第一周反轉(zhuǎn)效應(yīng)的影響,本文隨后引入滯后期,即在排序期之后,對股票觀察1周再買入,結(jié)果顯示股票出現(xiàn)了慣性效應(yīng)。產(chǎn)生上述現(xiàn)象的原因在于：中國股市短線交易頻繁,以周為單位,由于反應(yīng)過度,在第一周會(huì)產(chǎn)生強(qiáng)烈的價(jià)格反轉(zhuǎn),而中國股市的這種短期效應(yīng)在長期內(nèi)并不發(fā)生作用,所以檢驗(yàn)期較大時(shí)收益出現(xiàn)衰減。考慮滯后期出現(xiàn)慣性效應(yīng)是由于“反轉(zhuǎn)的反轉(zhuǎn)”所引起。 其次,本文將所有時(shí)間段分為股改前(1997-2004年)、股改后(2008-2012年),對上述兩個(gè)子區(qū)間的慣性、反轉(zhuǎn)效應(yīng)進(jìn)行對比分析,結(jié)果表明股改后的反轉(zhuǎn)效應(yīng)尤其明顯。進(jìn)一步,將股改后的股票分為高減持比例股票和低減持股票,發(fā)現(xiàn)高減持比例股票在賣空贏者組合上的收益遠(yuǎn)遠(yuǎn)高于低減持比例股票。實(shí)證結(jié)果表明,解禁股股東的拋售也是短期行為,當(dāng)股票收益較高時(shí),解禁股股東會(huì)不斷拋售,從而對股票價(jià)格造成向下壓力,使賣空收益顯著增大。 本文認(rèn)為,由投資者、公司以及監(jiān)管層的短視造成了整個(gè)市場環(huán)境的短視,進(jìn)而產(chǎn)生了中國股市獨(dú)有的顯著反轉(zhuǎn)效應(yīng)。
[Abstract]:Since the discovery of inertia effect and reversal effect, the academic circles have been paying close attention to them. Based on the Shanghai and Shenzhen A share trading data from 1997 to 2012, this paper makes an empirical study on the inertia and reversal effects of China, and makes a comprehensive analysis of the results, and puts forward its own hypothesis. The research of this paper is divided into two parts: First of all, in this paper, we design six different sorting periods and testing periods to test the data of all sample periods, and find that the stock price shows reverse effect in all time periods. The reversal effect was especially significant at the first week in the sorting period and the test period. After further analysis of the excess returns in each week, it is found that the stock shows a strong reversal effect in the first week, the inertia effect in the second week, and the absolute value of the return in the following week decreases continuously. The empirical results show that the CAPM model and the three-factor model can not explain the above phenomena. Considering the effect of the first week reverse effect, this paper then introduces the lag period, that is, after the ranking period, we observe the stock to buy for one week. The result shows that the stock has the inertia effect. The reason for the above phenomenon is that the short term trading in China's stock market is frequent, in weekly units, because of overreaction, there will be a strong price reversal in the first week, and this short-term effect of the Chinese stock market will not work in the long run. So when the inspection period is larger, the income is attenuated. The inertia effect of considering lag is caused by "reversal of inversion". Secondly, all the time periods are divided into the period of 1997-2004 and the period of 2008-2012 after the stock reform. The results show that the inversion effect is especially obvious after the stock reform. Further, the stocks are divided into high reduction ratio stocks and low reduction stocks, and it is found that the yield of high reduction ratio stocks is much higher than that of low reduction proportion stocks in short selling winners' portfolios. The empirical results show that the selling of unbanned shareholders is also a short-term behavior. When the stock returns are high, the shareholders will continue to sell, which will cause downward pressure on the stock price and increase the short sale income significantly. This paper argues that the shortsightedness of investors, companies and regulators results in shortsightedness of the entire market environment, which in turn produces a significant reversal effect unique to the Chinese stock market.
【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】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1932380