数字货币市场的动量效应及反转效应研究

本文采用2017 年2 月至2019 年11 月交易量最活跃的50 支数字货币的日度数据,考察了数字货币市场是否存在动量和反转效应,进一步分析了投资者情绪与动量效应、反转效应的关系。实证结果表明：（1）数字货币市场在1 个月内存在显著的短期动量效应,持有期越长,动量效应越弱;（2）在形成期和持有期超过2 个月时,数字货币市场呈现中期反转效应;（3）投资者情绪较高时市场动量效应更显著,投资者情绪较低时市场存在短期反转效应。之前的研究往往采用月度数据,更注重中长期动量效应,本文采用日度数据给出了短期动量效应和中期反转效应的实证证据,说明数字货币市场虽然在长期内可能是有效的,但在短期内存在无效性。     

基于动量和反转的行业配置策略

本文依据中信30个行业分类标准,采用2005年1月7日到2011年4月7日之间的行业指数周涨跌幅对单个行业的动量、反转特征检验表明,不同行业的动量特征可以分为5类,其中股价表现最为活跃、通常是市场涨跌的指示行业,短期动量比较明显,而短期动量均衡和长期动量均衡行业大致对应着周期性行业和非周期性行业,周期性行业的动量通常较短基本在2周左右,而非周期性行业的动量都在8周左右。按照静态时点上测算买入前3位动量或者后3位反转行业的组合效果,可以看到在大部分的期间组合内动量和反转都是有效的,这种策略可以获得正收益;不管是动量策略还是反转策略都更适合短期战术性调整,收益最高都发生在持有期较短的期限内;就特定持有期而言,对应的观察期长短,动量效应在中期内表现较好,在长期内表现较差,而反转效应在长期内表现较好,在中期内表现较差。     

人民币汇率制度改革与商业银行外汇风险防范对策

从2005年7月21日起．我国开始由人民币实际上盯住单一美元的汇率制度改为实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。并从当日起调整美元对人民币交易价格为1美元兑8．11元人民币．作为次日银行间外汇市场上外汇指定银行之间交易的中间价。在此基础上,我国又推出了做市商制度和询价交易．扩大了外汇市场参与者的主体．增加了银行间外汇市场人民币兑外币的远期和掉期交易．并在2007年5月又进一步提高了银行间外汇市场人民币汇率的波动范嗣。     

不同视角下的动量效应研究进展

Jegadeesh和Titman（1993）提出了股市中存在动量效应并能获得超额收益，这对传统的有效市场理论形成了挑战，从而受到了各国学者的关注，并从不同方面发展了动量效应理论。本文首先阐述了动量效应的由来和发展，接着从行为金融，有效市场，奈特不确定性三个视角解释动量效应现象，最后回顾了国内学者研究的最新进展。     

汇改步步临近市场化

国家外汇管理局发布了《银行间外汇市场（暂行）》及《关于在银行间外汇市场推出即期询价交易有关问题的通知》，决定在银行间外汇市场引入做市商制度，并从2006年第一个交易日起，在银行间市场推出即期询价交易方式。央行在外汇市场上频频出手，其主要目的在于：     

股市中的过度反应与反应不足

过度反应与反应不足是股市投资中的两个异常行为,本文认为除了“输家——赢家效应”、“市盈率异常”以外,“井喷现象”也是过度反应的典型表现;反应不足则主要表现为“魅力股”或“价值股”等。过度反应与反应不足产生的主要原因是投资者存在过度自信、自我归因及保守性偏差等,常见的对策是反转策略和动量策略,本文分析了运用反转策略和动量策略的时机选择,以使其更具可操作性。     

人民币离岸市场与境内市场之间收益率及波动的溢出效应研究

本文基于2010年8月23日—2013年12月31日香港离岸可交割人民币外汇市场(CNH市场)和境内人民币外汇市场(CNY市场)的统计数据,采用二元VARBEKK-MVGARCH模型,实证研究了人民币离岸市场与境内市场收益率溢出效应和波动溢出效应。结果表明:当选择人民币汇率收盘价计算境内人民币外汇市场收益率时,人民币离岸市场与境内市场之间存在显著的双向收益率溢出效应和双向波动溢出效应;当选择人民币汇率中间价计算境内人民币外汇市场收益率时,仅存在人民币离岸市场对境内市场的单向收益率溢出效应和人民币境内市场对离岸市场的单向波动溢出效应。     

国家平抑外汇市场调剂汇率趋稳

1993年中国国内外汇调剂市场汇率波动较大。从1992年下半年开始人民币调剂汇率出现了急剧上涨趋势,从1992年初1美元兑换6元人民币达到7月的7.06和12月的7.34,进入1993年,人民币跌势加剧,2月份美元对人民币汇率报8.20左右价位。为此,国务院要求稳定市场汇率,有关部门从3月起开始对外汇市场实行控制需求从而抑制价格的干预市措施,此举稳定了     

动量与反转策略下的风格轮动

本文主要介绍了动量与反转策略的定义及风格轮动的相关内容,对动量与反转策略作了相关的文献综述,总结了国外在这方面所取得的研究成果。关于风格轮动中到底是动量策略有效还是反转策略有效,我们作了大量的实证,并得到一些重要结论。股票除有价值与成长,大盘股与小盘股外,还有高价股与低价股,亏损与绩优股等一些常见的划分,它们的风格表现如何？所有这些风格在一个更短的期间内,规律特征是否有不同？又怎样从实际投资的角度来构建一些更为短期的风格投资策略来提升投资收益？本文基于这些思考,试图构建一个更为全面的风格轮动的投资策略。     

不同检验周期下中国股市价格动量的盈利性研究

本文首先介绍了重叠抽样的价格动量检验方法。在 1 995— 2 0 0 1年经历了牛市和熊市的中国股市能比较充分地反映股市波动周期的信息。本文选取这段时间的股票样本 ,考察周、月周期下价格动量策略的赢利性特征。结果发现 ,月度周期检验中并不存在显著动量利润 ,动量利润只存在于形成期和持有期在 4周以内的周度周期策略中。随持有期加长 ,动量利润递减 ,但赢者组合对动量利润的贡献逐渐增大。本文检验结果具有鲁棒性。     

An Empirical Study on Momentum and Contrarian Effects in Chinese Futures Market

As Chinese futures market is on track of standardized development, its efficiency and related investors＇ strategy have drawn wide attention from scholars worldwide. This paper aims to provide an empirical study on momentum and contrarian effects in Chinese futures market. It investigates how efficient this market has been after decades of development and what investment strategy can be used to obtain significant positive excess return. The analysis is based on weekly and monthly trading data of the major commodity futures listed in three Chinese futures exchanges since January, 1999. By establishing a zero-cost investment trading strategy as testing method, this empirical study shows that contrarian effect is significant in both weekly frequency （short term） and monthly frequency （long term）, and that as the holding period extends, the contrarian effect disappears. It also concludes that the reverse effects in the short term and long term origin from three factors： defective information transfer system, mean reversion in the contrarian effect, and immaturity of investors＇ mentality.     

The state of the market and the contrarian strategy: evidence from China's stock market

Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995–2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks’ previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a ‘down’ market generates higher profit than those following an ‘up’ market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a ‘down’ market are robust after risk adjustment.     

Expectations on the yen/dollar exchange rate – Evidence from the Wall Street Journal forecast poll

We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters’ expectation formation process for the yen against the US dollar for the period 1989–2007. We also contrast the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.     

What has foreign exchange market intervention since the Plaza Agreement accomplished?

We review the conduct and scale of official intervention by monetary authorities in the U.S.A., Japan, and West Germany since the Plaza Agreement. Relative to trading volume and the stock of internatonally traded assets denominated in foreign currencies, intervention is small-scale and sporadic, hence at best limited to transitory effects. It does not appear to reduce volatility of daily exchange rates. Monetary authorities gamble that they will not suffer losses on their foreign currency holdings. Evidence in favor of sterilized foreign exchange market intervention as a way of conveying information to the private sector is far from convincing. Since changes in relative monetary growth rates are sufficient to alter bilateral exchange rates, monetary authorities can achieve their exchange rate preferences with domestic monetary policy, but at the cost of possible distortionary effects on monetary growth rates, domestic interest rates, and international capital flows.     

Foreign Exchange Risk,Equity Risk Factors and Economic Growth

This paper examines the information content of the equity risk factors that explain cross variation of stock returns and predicting future macroeconomic growth. For the first time we incorporate a new foreign exchange risk factor, providing important insights into the relationship between risk factors and the business cycle. The methodology involves the performance of a stepwise regression analysis of future macroeconomic growth against the lagged returns of five risk factors (market risk premium, size, value, momentum and foreign exchange risk). The results are validated with Granger causality tests and out-of-sample dynamic forecasting. They show that the foreign exchange risk factor contains strong, stable and statistically significant incremental information concerning future macroeconomic growth. Firms that are sensitive to the foreign exchange risk thrive when an economic upturn is anticipated and firms that are insensitive to the foreign exchange risk will have larger returns when an economic downturn is anticipated.     

Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995‐2010 Period

This paper attempts to assess the extent of volatility spillovers between the equity market and the foreign exchange market in South Africa. Multistep family of the General Autoregressive Conditional Heteroskedasticity models are used for this end, whereby volatility shocks obtained from the mean equation estimation in each market are included in the conditional volatility of the other market, respectively. The paper selects the appropriate volatility models for each market following criteria such as covariance stationarity, persistence in variance and leverage effects. The finding of the paper indicates that there is a unidirectional relationship in terms of volatility spillovers from the equity market to the foreign exchange market. The paper supports the view that the extent of foreign participation in the South African equity market possibly contributes to this phenomenon.     

The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market

We examine the dynamic relation between stock returns and four types of investment flows using Korean daily data for the period 1998–2010, focusing on the investment/trading behavior of four types of investors – individual, institutional, government, and foreign – and the effect of cross-border investment flows on the Korean equity market. We find that, first, foreigners and institutional investors tend to drive the Korean equity market, and their trades seem to be information-driven, whereas individual investors do not drive the Korean equity market and their trades do not seem to be information-driven. Second, as a result, both foreigners and institutional investors performed well in the sample period, whereas individual investors performed poorly. Third, the four types of investors differ in their trading behavior. In response to U.S. market returns, foreigners and institutional investors tend to take a momentum strategy whereas individual investors and government tend to take a contrarian strategy.     

Real financial market exchange rate volatility and portfolio flows

This paper studies the relationship between real financial market exchange rate volatility and US cross-border equity flows. We found strong evidence that causality goes from real financial market exchange rate volatility to equity flows. According to our results, real financial market exchange rate volatility negatively influences purchases of foreign equity. This finding is in line with the portfolio optimization theory. The impact of real financial market exchange rate volatility on sales of foreign equity is also negative. This result can be explained by the theory of behavioral finance which states that investors are reluctant to realize losses of their portfolios. This is why investors decrease sales of assets when riskiness of the assets increases. The impact of real financial market exchange rate on net purchases of foreign equity is positive. It follows from these results that sales of foreign equity decrease more strongly than purchases of foreign equity when riskiness of foreign assets increases.     

The Impact of Corruption on the Black Market Premium

Recently the impact of institutional factors on macro variables has been gaining momentum. Researchers have investigated the impact of corruption, law and order, and bureaucracy on economic growth, inflation, investment, productivity, and the real exchange rate. In this article, we investigate empirically the impact of institutional factors on the black market premium. In many developing nations, because of government restrictions on capital and trade flows, there exists a black market for foreign exchange. By using data from 60 developing countries over the 1982-1995 period, we show that the black market premium is higher in countries that are plagued by more corruption. This finding seems to be insensitive to five different measures of corruption as well as whether cross-section or panel data are used.     

The foreign exchange exposure of Chinese banks

Using the capital market approach and the equity price data of 14 listed Chinese banks, this empirical study finds that there is a positive relationship between bank size and foreign exchange exposure. This relationship may reflect the larger foreign exchange operations and trading positions of larger Chinese banks and their significant indirect foreign exchange exposure arising from impacts of the renminbi exchange rate movements on their customers. Empirical evidence also suggests that the average foreign exchange exposures of state-owned and joint-stock commercial banks in China are higher than those of banks in Hong Kong, notwithstanding their limited participation in international banking businesses compared with their Hong Kong counterparts. It is also found that negative foreign exchange exposure is prevalent for larger Chinese banks, suggesting that an appreciation of the renminbi tends to reduce their equity value. It is therefore likely that the banking sector's performance will be hampered. Together with the fact that decreases in equity values generally imply a higher default risk, the effects of different scenarios of renminbi appreciation on the default risk of Chinese banks should therefore be closely monitored.