中国A股市场动量效应实证研究  

Empirical Study on Momentum Effect on China's A Share Market

作　　者：朱俊[1] 庄新田[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2010年第7期1054-1057,共4页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金资助项目(75103404)

摘　　要：对动量效应相关研究的国内外文献进行了讨论,利用1998～2005年我国A股市场全部数据进行了动量效应的实证检验.结果表明:我国A股市场在短期内存在统计上不显著的动量效应,且投资者在短、中期应用该投资策略将会取得超额收益.赢家组合和输家组合大部分都具有同方向的超额收益或亏损.中国股市存在着严重的同涨同跌性,即投资者以正反馈模式对市场信息做出反应.根据上述分析,对我国证券市场的发展和投资者投资A股市场提出了操作建议.Based on the whole data of China＇s A share market in the period 1998--2005 and the discussion on the earlier works about the momentum effect at home and abroad, a check was carried out empirically for the momentum effect. The results revealed that the momentum effect on short-run investment is unobvious statistically in the A share market, while the excess returns on shaft/medium-run investment are available for those investors who make use of the strategy of momentum effect. Most of both the winner and loser portfolios gain excess returns or suffer losses in the same direction, i. e. , the simultaneous rise or fall of various stock prices characterizes China＇s stock market. It implies that the investors react to the market information in a positive feedback mode. For this reason, some suggestions are recommended for the development of China＇s stock market and investors＇ operational strategies.

关 键 词：A股市场 动量效应 动量策略 赢家组合 输家组合 

分 类 号：F830.91[经济管理—金融学]