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动量交易策略及我国股票市场实证分析
引用本文:黄卫华.动量交易策略及我国股票市场实证分析[J].财经理论与实践,2015(2):46-52.
作者姓名:黄卫华
作者单位:暨南大学 国际商学院,广东 珠海,519070
基金项目:教育部人文社会科学青年基金
摘    要:动量交易策略指的是事先针对股票收益及交易量设定过滤规则,一旦股票收益或者股票收益和交易量同时满足过滤规则就买入或卖出股票的交易策略。动量交易策略的理论基础是行为金融学。国外投资者已经成功地在实践中应用了该策略。我国股票市场是否存在动量效应,还未形成统一的结论。在总结国内外学者研究方法的基础上,利用目前可用的数据,对我国股票市场在中期条件下动量交易策略的适用性进行了实证研究。但得出的结论并不支持存在动量效应。

关 键 词:动量交易策略  动量效应  超额收益  行为金融  股票市场

The Momentum Trading Strategy of China's Stock Markets
HUANG Weihua.The Momentum Trading Strategy of China''s Stock Markets[J].The Theory and Practice of Finance and Economics,2015(2):46-52.
Authors:HUANG Weihua
Institution:HUANG Weihua;International Business School,Jinan University;
Abstract:Momentum trading strategy refers to a strategy of pre-setting filter criteria of stock returns and trading volume,and buying or selling stocks when stock returns meet these filter cri-teria or both stock returns and trading volumes meet these filter criteria.Momentum trading strategy is proposed based on the theory of behavioral finance on the past.Foreign investors have successfully applied this strategy in practice.However,as to whether there is momentum effect in China's stock markets,unified conclusion has not yet arrived.This paper summarizes the methods of researchers at home and abroad,and then combines the use of currently available da-ta,the applicability of our stock market conditions based on medium term,and conducts a mo-mentum trading strategies empirical study.But the conclusion does not support the existence of the momentum effect.
Keywords:Momentum effect  Momentum trading strategy  Excess returns  Behavioral fi-nance theory  Stock market
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