中国股市短期反转策略实证研究

运用了Lo，Mavkinlay(1990)反转策略设计、Jegacleesh，Titman(1995)反转收益分解框架并引入成交量冲击对中国股市短期(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。本文最后认为De Long(1990)关于正反馈交易者、Hong，Stein(1999)信息逐渐扩散的行为金融模型及市场操纵行为对于短期收益反转都具有一定解释力。

An Empirical Research on Short-term Contrarian Strategy in the China Stock Market

Applying contrarian strategy of Lo,Mavkinlay(1990), the decomposition of Jegadeesh,Titman(1995) and introducing turnover shock into the contrarian strategy, we find there are statistically significant profits for short-term contrarian strategy in the China stock market. Further analysis indicates that: (1) overreactionto firm-specific information, not the lead-lag structure, is the most important source of short-term contrarian profits; (2) the size of contrarian profits is correlation 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(1990) and Hong,Stein(1999), as well as market manipulation behaviors have some power in explaining the short-term contrarian profits.