中国股市惯性策略的实证研究

以上海和深圳证券交易所1996年及以前上市的A股股票自1997年1月到2004年12月的月交易数据为研究样本，分别就牛市和熊市对中国股市中期惯性策略进行实证分析，结果发现：在牛市，惯性策略无法获得显著的超额收益，原因在于输家组合的价格表现为显著的反转现象；在熊市，惯性策略在排序期较长、持有期较短时可以获得显著超额收益，且主要来自对输家组合的卖空。

Empirical Analysis on Momentum Strategy in Chinese Stock Market

The paper selects the monthly trading on Shanghai security exchange and Shenzhen securi data during 1997 and 2004 of A Shares listed ty exchange before and in 1996 as research samples, and empirical analysis is made on momentum strategy in medium term in bullish and bearish market respectively. The results show that momentum strategy cannot gain significant abnormal return in bullish market, because of the price reversal of loss portfolios; in bearish market, when the formation period is long the holding period is short, the momentum strategy can earn significant abnormal return which mainly comes from the short sale of loss portfolios.