中国股市的惯性与反转效应研究

由于中国股市具有政策市的特征,本文在Hong和Stein(1999)模型的基础上,研究政策市背景下的中国股市的惯性与反转效应。我们的主要结果有:中国股市的反转效应相对于惯性效应要更明显一些,并且除了中期惯性与长期反转外,还存在一个超短期的惯性与短期的反转;同时,小公司股票相对大公司股票,惯性运动的趋势较弱,更容易发生反转,成交量大的股票相对于成交量小的股票,惯性运动的趋势较弱,更容易发生反转。最后通过实证分析,在中国股票市场对上述结果进行了检验,实证结果支持了我们的结论。

Momentum and Reversal in China Stock Market

This paper generalizes the Hong, Stein (1999) model to investigate the momentum and reversal in China Stock Market that is a policy market. The main results are: The reversal effect is more significant than the momentum effect in China Stock Market; there exist a ultra-short-term momentum and a short-term reversal besides the intermediate-term momentum and the long-term reversal; and the reversal effect in small-size firm stocks is more significant than the reversal effect in large-size firm stocks, the reversal effect in high-trading-volume firm stocks is more significant than the reversal effect in low-trading-volume firm stocks. At last, we find some empirical evidence to support this analysis in China Stock Market.