动量交易行为量化及其对基金业绩的影响  

The Effects of Quantitative Momentum Trading Behavior on Performance of Fund

作　　者：李实萍[1] 吴栩[1] 

机构地区：[1]华南理工大学工商管理学院,广州510640

出　　处：《商业研究》2014年第12期8-13,共6页Commercial Research

基　　金：教育部人文社会科学青年基金项目;项目编号:13YJC790150;教育部高等学校博士学科点专项科研基金新教师类资助课题;项目编号:20120172120050;广东省哲学社会科学"十二五"规划项目;项目编号:GD13YGL05;中央高校基本科研业务费专项资金项目;项目编号:2013ZB0016

摘　　要：动量投资策略是行为金融学推崇的投资策略之一,然而该策略在基金投资实践中对业绩的贡献却鲜为人知。通过提出动量交易强度的概念,本文构建了动量交易强度的测算指标MTI,并以中国开放式基金为样本实证研究了动量交易强度对基金业绩的影响,发现开放式基金普遍存在动量交易行为,但动量交易强度与基金的前期收益率无正相关关系,对其下期的业绩驱动也未体现出正相关关系,这可能与我国股票市场非完全有效以及基金投资羊群行为有很大关系。Momentum investment strategy is one of the behavior finance investment strategies, but few people study the effects of this strategy on the performance of fund investment in practice. By putting forward the concept of ＂momentum trading intensity＂, this paper builds a momentum trading intensity measure index MTI, and studies the effects of momen- tum trading behavior on performance of fund by the empirical analysis of China＇s open - end fund. The result shows that the open - end fund has widespread momentum trading behavior, but there is no positive correlation between momentum trading intensity and the prophase yields, and between the next performance and momentum trading intensity. This may be related to not completely effective stock market in China and investment funds herding behavior.

关 键 词：动量交易强度 动量交易行为 投资业绩 

分 类 号：F224[经济管理—国民经济] C18[社会学]