短期动量效应与收益反转效应研究——基于中国中小板市场数据实证分析
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引用本文:冯科,郑琛.短期动量效应与收益反转效应研究——基于中国中小板市场数据实证分析[J].财经理论与实践,2013,(2):29-33
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作者单位
冯科,郑琛 (1. 北京大学经济学院北京1008712. 北京大学软件与微电子学院北京102600) 
中文摘要:依据2011年中小板市场股票的日收益率考量对该市场短期动量效应与反转效应。结果显示:当形成期为一周时,持有期为一周、四周、八周的情况下市场均存在收益反转现象;当形成期为两周时,持有期为四周、八周的情况下市场均存在收益反转现象;当形成期为四周、八周时,各种持有期情况下均存在反转效应。重叠抽样结果显示:除了形成期为两周且持有期为两周的情况下,市场效应不明显之外,其他均显著表现为收益反转效应。同时采用静态与动态的投资策略验证2012年上半年的数据,发现时间段的选取对于研究结论有显著的影响;动态投资策略能够实现更为可观的收益,但收益波动也更为剧烈。
中文关键词:中小板  动量效应  反转效应
 
The Short Term Momentum Effects and Contrarian Effects: Based on the Data from SME Stock Market
Abstract:Based on the daily yield data from SME stock market in 2011, a research on the momentum effects and contrarian effects of stock market has been done. It is found that when the observation period is one week and the holding period is one week, four weeks or eight weeks, the market can be expected to exist contrarian effects; when the observation period is two-week and the holding period is four weeks or eight weeks, the market can be expected to exist contrarian effects; when we observe the market for four or eight weeks, any situations can be expected to exist contrarian effects. Under the analysis of Jegadeesh & Titman's theory, all kinds of portfolios except for (2, 2) can be found the evidence of contrarian effects. And the selection of the time period has a significant effect on the research results. Moreover, the dynamic investment strategy can achieve sound revenues with suffering a more dramatic fluctuation.
keywords:SME stock market  Momentum effects  Contrarian effects
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