沪市中流通市值对惯性与反向策略影响的实证研究  

An Empirical Study on the Impact of Circulation Market Value on Momentum Strategy and Contrary Strategy in Shanghai A Shares

作　　者：朱韬 吕恕[1] 

机构地区：[1]电子科技大学,四川成都611731

出　　处：《税务与经济》2016年第2期39-43,共5页Taxation and Economy

摘　　要：将中国沪市A股与流通市值结合,研究股票市场的惯性和反向策略。研究表明,沪市A股市场上存在显著的反向效应,而惯性效应基本不存在。此外,流通市值大的赢家—流通市值小的输家的策略最为明显,且更为一种显著的获利模式。这对于中国的股票投资者,尤其是机构投资者提供了一种可行的投资策略。A study is conducted in this paper to analyze momentum strategy and contrary strategy in stock mar- ket. Shanghai A shares and circulation market value are combined to provide evidence for this study. The result shows that the contrary effect is prominent in Shanghai A shares market, on the other hand, there is no momentum effect in this market. In addition, the strategy of big winners-small losers of circulation market value is outstanding, which is seen as a more significantly profitable model. Thus, this study provides a feasible investment strategy for Chinese stock investors, especially institutional investors.

关 键 词：惯性策略 反向策略 流通市值 

分 类 号：F830.91[经济管理—金融学]