“次贷危机”下发达国家和地区股票指数的惯性效应与反转效应——以美国、日本、欧洲、香港为例  

Inertial and Reversal Effects of Stock Market Index During the Sub-prime Crisis in Developed Countries:The Cases of USA,Japan,Europe and HKSAR

作　　者：贾颖[1] 杨天化[1] 

机构地区：[1]财政部财政科学研究所,北京100142

出　　处：《金融研究》2011年第8期157-166,共10页Journal of Financial Research

摘　　要：随着经济一体化进程加快,世界各主要经济体的联系越来越紧密,其股票市场的相关度也日益提高。2008年的"次贷危机"为我们检验和比较不同市场面对冲击的表现提供了绝佳的机会——根据危机中不同市场表现出的惯性效应或反转效应,本文验证了不同市场投资者的策略选择。结果表明,欧美市场易出现惯性效应,亚洲市场易出现反转效应。With the world economic integration process, the major economics are increasingly linked, and the correlation among these stock markets is also increasing. The sub-prime crisis of 2008 provides us a great op- pertunity to test and compare the performance of different markets to the shocks. In the paper, inertial and re- versal effects are employed as empirical tools to study and demonstrate the investor＇s strategy choice in terms of stock return in the markets of the USA, Japan, Europe and HKSAR. The empirical evidence shows that Asian stock markets are significantly liable to possess a particular characteristic of reversal effect whilst the markets in Europe and the USA tend predominantly towards inertial effect.

关 键 词：惯性效应 反转效应 次贷危机 

分 类 号：F831.51[经济管理—金融学] F224