价格跳跃、信息冲击与动量反转效应  

Price Jump,Information Shock and Momentum Reversal Effect

作　　者：杨雯 YANG Wen(College of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《武汉理工大学学报（信息与管理工程版）》2018年第6期684-689,706,共7页Journal of Wuhan University of Technology：Information & Management Engineering

摘　　要：以股价的显著不连续变化即跳跃作为信息冲击的代理变量,综合利用来自中国股票市场的5 min高频数据、日度和月度数据,采用组合分析和Fama-Macbeth横截面回归的方法,对信息冲击和股票横截面收益之间的关系进行全面的检验。实证研究表明:中国市场存在对信息冲击的短期动量和长期反转的现象。过去一个月信息冲击大的组合在未来有更低的超额收益,在加入公司特征作为控制变量的多元回归中,历史累计跳跃收益(即信息冲击)的系数显著为负;当股票按照日度信息冲击分组时,过去一日冲击大的组合在未来有更高的超额收益。研究结果为完善市场微观结构理论和揭示市场有效性提供了新的视角。Taking the significant discontinuous change of stock price,jumping as the proxy variable of information shock,this article comprehensively analyzes the relationship between information shocks and cross-section returns from two perspectives:portfolio sorts and cross-sectional regression based on data from intraday,daily and monthly stock return.Empirical research shows that there are short-term(daily)momentum and long-term(monthly)reversal under information shocks in the Chinese market..Portfolios of larger information shocks in the past month has lower excess returns in the future.In the multiple regression with company characteristics as a control variable,the coefficient of lagged jump returns(information shocks)is significantly negative.However,the result is the opposite over shorter horizons.Portfolios of larger information shocks over the previous one day will have a higher excess return in the future.The research result provides a new perspective for perfecting the market microstructure theory and revealing market effectiveness.

关 键 词：信息冲击 动量效应 反转效应 横截面回归 跳跃收益 高频数据 

分 类 号：F830[经济管理—金融学]