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| 中国股市日度反向利润研究 | |
| 引用本文： | 朱战宇,吴冲锋,肖辉.中国股市日度反向利润研究[J].上海交通大学学报,2005,39(3):442-447,452. |
| 作者姓名： | 朱战宇 吴冲锋 肖辉 |
| 作者单位： | 1. 中国人寿,资产管理有限公司,北京,100032 2. 上海交通大学,安泰管理学院,上海,200052 3. 上海期货交易所,上海,200122 |
| 摘 要： | 采用重叠法对中国A股股票超额收益率进行日度检验，结果表明：当形成期和持有期为1～5个交易日时，中国股市存在统计显著的日度反向利润．同时，进一步将日度反向利润与日周效应这两种异常行为相结合，研究周内各交易日股价变动对日度反向利润的影响差异，结果表明：当持有期为周一时，反向策略收益表现为动量效应，对日度反向利润影响为负；周二、三、五时表现为反向效应，对日度反向利润影响为正。 |
| 关 键 词： | 股票市场 反向利润 日周效应 中国 |
| 文章编号： | 1006-2467(2005)03-0442-06 |
Daily Contrariant Profit in China's Stock Market |
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| ZHU Zhan-yu,WU Chong-feng,XIAO Hui.Daily Contrariant Profit in China''''s Stock Market[J].Journal of Shanghai Jiaotong University,2005,39(3):442-447,452. | |
| Authors: | ZHU Zhan-yu WU Chong-feng XIAO Hui |
| Institution: | ZHU Zhan-yu~1,WU Chong-feng~2,XIAO Hui~3 |
| Abstract: | Using daily interval data and overlapping method, this paper finds that there is significant daily contrariant profit in Chinese stock market when the formation and holding periods are from one to five trading days. Then this paper integrates the daily contrariant profit and day-week effect. It shows that, the daily contrariant profit strongly presents day-week patterns: when holding period is on Monday, returns of contrariant strategies present a momentum effect, contribute negatively to daily contrariant profit; but on Tuesday, Wednesday, and Friday, they present a contrariant effect, contribute positively to the profit. |
| Keywords: | stock market contrariant profit day-week effect China |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |