我国A股市场动量及反转投资策略研究  

An Empirical Study of Momentum and Reversal Investing Strategies in China’s A-Share Market

作　　者：陈运华 邓留保[1] CHEN Yun-hua;DENG Liu-bao(School of Finance,Anhui University of Finance and Economics,Bengbu 233030,China)

机构地区：[1]安徽财经大学金融学院

出　　处：《宜春学院学报》2019年第8期77-82,共6页Journal of Yichun University

基　　金：安徽财经大学科研重大项目(项目编号:ACKY1804ZDA);安徽财经大学研究生科研创新基金项目(项目编号:ACYC2018125)

摘　　要：近二十年来,行为金融学理论的发展使得有效市场假说理论不断受到冲击,目前国外学者研究发现,可以成功地在股票市场中运用动量及反转投资策略实现获利,而国内学者的研究结论并不一致。在借鉴前人的研究基础上,采用2008年1月到2018年6月的月收益率数据对中国A股市场动量及反转投资策略有效性进行实证研究,结果发现,A股市场存在显著的反转投资效应,而没有发现明显的动量投资效应。研究结果也进一步验证了中国股票市场并不是一个有效的市场。In the past two decades,the theory of effective market hypothesis has been affected by the development of behavioral finance theory.At present,foreign scholars have found that momentum and reversal investing strategies can be successfully used to achieve profits in the stock market,while domestic scholars’research conclusions are inconsistent.On the basis of previous research,this paper uses the monthly yield data from January 2008 to June 2018 to make an empirical study on the effectiveness of momentum and reversal investing strategies in China’s A-share market.The results show that there is a significant reversal investing effect in the A-share market,but did not find the significant momentum investing effect.The results further confirm that the Chinese stock market is not an effective market.

关 键 词：动量投资策略 反转投资策略 行为金融 有效市场假说 

分 类 号：F830.91[经济管理—金融学]