A股市场资金流向指标应用分析  

The application analysis of the capital flow in A-share market

作　　者：侯丽薇[1] 谢赤[1] 戴军 葛新元 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]国信证券股份有限公司经济研究所,广东深圳518001

出　　处：《证券市场导报》2010年第11期72-77,共6页Securities Market Herald

摘　　要：本文旨在探讨资金流向和当期股票收益率以及未来股票收益率之间的关系。文章建立起基于A股市场的资金流向统计分析框架,通过对A股市场分钟级高频交易数据的统计分析发现,在A股市场中,资金流向对未来股票收益率具有中期反转的特性,并从行为金融的角度对这一现象进行了合理的解释,为A股投资者提供了一个新的有效的投资策略。This paper intends to explore the relationships between capital flows and stock returns at the current time and in the future. We set up a framework for statistical analysis based on the A-share market. According to the statistical analysis of the high-frequency transaction data in minute level from A-share market, it is indicated that in the market, capital flows have a medium-term reversal impact on the future stock return. Furthermore, we tried to find out reasonable explanations for this phenomenon from the perspective of behavior finance, and provided investors a new and effective investment strategy on the A-share market.

关 键 词：资金流向 噪声交易 羊群效应 

分 类 号：F830.91[经济管理—金融学]