| 中国股市短期收益反转及成交量效应 |
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| 引用本文： | 肖峻,王宇熹,王奕俊. 中国股市短期收益反转及成交量效应[J]. 同济大学学报(自然科学版), 2006, 34(7): 985-989 |
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| 作者姓名： | 肖峻 王宇熹 王奕俊 |
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| 作者单位： | 1. 同济大学,经济与管理学院,上海,200092;江西财经大学,金融学院,江西,南昌,330013
2. 同济大学,经济与管理学院,上海,200092 |
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| 基金项目： | 中国科学院资助项目;上海市高校优秀青年教师后备人才培养计划 |
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| 摘 要： | 运用Lo,Mavkinlay反转策略设计,Jegadeesh,Titman反转收益分解框架,并引入成交量对中国股市短期(周)反转策略进行了实证研究.结果表明,中国股市存在显著的短期(周)收益反转,反转强度与公司规模相关.反转收益主要来源于对公司特有信息的过度反应,而并非由“领先-滞后”结构驱动.引入成交量冲击能够显著优化反转策略,成交量包含了未来股价走势的重要信息.
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| 关 键 词： | 反转策略 过度反应 成交量 行为金融 |
| 文章编号： | 0253-374X（2006）07-0985-05 |
| 收稿时间： | 2004-12-27 |
| 修稿时间： | 2004-12-27 |
Short-Term Price Contrarian and Volume Effect in China''''s Stock Market |
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| XIAO Jun,WANG Yuxi,WANG Yijun. Short-Term Price Contrarian and Volume Effect in China''''s Stock Market[J]. Journal of Tongji University(Natural Science), 2006, 34(7): 985-989 |
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| Authors: | XIAO Jun WANG Yuxi WANG Yijun |
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| Abstract: | A study of the short-term contrarian strategy in China's stock market is conducted by applying Lo,Mavkinlays contrarian strategy,Jegadeesh and Titmans decomposition.Results show that there are statistically significant profits for short-term contrarian strategy in China's stock market.Further analysis indicates that:(1) the most important source of short-term contrarian profits is the overreaction to firm-specific information, not the lead-lag structure;(2) the size of contrarian profits is correlated with market capitalization.(3) the introduction of turnover shock significantly optimizes the contrarian strategy,implying that turnover comprises some important information about the future stock price.The models of both De Long and Hong,Stein,as well as market manipulation can account for the short-term contrarian profits. |
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| Keywords: | contrarian strategy overreaction turnover behavior finance |
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