中国市场下基于流动性的反转策略研究

为了检验中国市场条件下反转效应是否存在以及投资者是否可以利用反转效应获利,通过股票流动性对收益率序列相关性模式影响的研究,发现中国两个证券市场中都存在显著的短期反转现象,最强的反转效应以及潜在最大的反转策略赢利发生在同时具有高换手率和高非流动性指标的输家组合中.原因是市场中非知情交易者流动性需求所造成的价格压力导致了投资组合收益率序列出现负相关性,但是潜在的反转策略赢利还不足以抵偿由于频繁交易而产生的交易成本.因此,由于市场摩擦存在,投资者在中国市场条件下不能通过反转策略赢利.

Research on the reversal strategy based on the perspective of liquidity under the market conditions of China

In order to test whether the reversal effect exists under the China market conditions and whether investors can use the reverse effect to profit or not,this paper studies the impact of stock liquidity on the patterns of stock return sequences and found that stock exchange has significant reversal phenomenon during short-term,the strongest reversal phenomenon and the greatest potential profit in reeersal strategy occur in losers portfolio which has high turnovers and high ILLIQ.The reason is that the non-informational traders in the market for the liquidity and the price pressure led to a sequence of negative autocorrelations.However,the potential reversal strategy profit is insufficient to offset the high transactions cost,which is due to the stock has high turnovers and low liquidity.