基于TGARCH模型的证券投资惯性反向交易策略实证研究  

An Empirical Study on Momentum and Contrarian Investment Strategy of Mutual Fund Based on TGARCH Model

作　　者：谢赤[1] 禹湘[1] 储慧斌[1] 

机构地区：[1]湖南大学工商管理学院

出　　处：《管理科学》2007年第3期68-75,共8页Journal of Management Science

基　　金：国家社会科学基金(03BJY099);全国高校青年教师奖励基金(教人司2002[123]);教育部博士点专项科研基金(20020532005)

摘　　要：惯性反向交易策略是比较成熟的行为金融投资策略。选取2000年1月～2006年10月投资组合公告发布在7年以上的10只偏股型封闭式基金,将TGARCH模型结合Sh iller等提出的模型测度中国证券投资基金的惯性反向交易策略,探讨证券收益的波动性与惯性反向交易之间的关系。实证分析结果表明,惯性反向交易行为使基金收益具有负自相关性,同时惯性反向交易行为在市场上升和下降时是不对称的,市场下降时的惯性交易行为远比市场上升时剧烈,存在明显的杠杆效应,并且利空消息比同样大小的利好消息对收益波动性的影响更大。Momentum and Contrarian Investment Strategies are relatively mature behavioral finance investment strategies. Based on the data of 10 close-end mutual funds whose portfolios have been announced for more than seven years during the period of January 2000 to October 2006, this paper uses the TGARCH Model and the Shiller, Sentana and Wadhwani Model to estimate the momentum and constrain trading activities of Chinese mutual funds. This paper also discusses the relationship between the mutual fund return volatility and momentum and contrarian trading activities. Empirical study shows that the impact of momentum and contrarian trading activity is to produce negative first order autocorrelation in mutual fund returns, and that the momentum and contrarian trading activity is asymmetric when the market is rising or falling. The momentum trading activity is far more violent when the market is falling than when it is rising, It is obvious that a lever effect exists. Good news will have a greater impact on the mutual fund return volatility than an equivalent bad news will have.

关 键 词：证券投资基金 行为金融 惯性 反向 TGARCH模型 

分 类 号：F823[经济管理—财政学]