中国股票市场月频动量效应消失之谜——基于T+1制度下隔夜折价现象的研究  

On the Reason for “Weak Monthly Momentum Effect” in the Chinese Stock Market: Evidence from T+1 Overnight Discount

作　　者：白颢睿 吴辉航 柯岩 Bai Haorui;Wu Huihang;Ke Yan(PBC School of Finance,Tsinghua University,Beijing 100083,China)

机构地区：[1]清华大学五道口金融学院,北京100083

出　　处：《财经研究》2020年第4期140-154,共15页Journal of Finance and Economics

摘　　要：月频动量效应作为海外资本市场最强劲的因子之一,被广泛用于资产配置;但动量效应在中国A股市场上却表现不佳,被称为中国股票市场上的"月频动量效应消失之谜"。文章从微观市场交易制度的角度出发对A股市场"月频动量消失之谜"给出了理论解释,基于2000-2016年A股上市公司数据,使用日内与隔夜收益率拆解的方法进行了实证检验。研究发现:(1)A股市场存在日内动量、隔夜动量以及由T+1制度导致的日内与隔夜动量的强反转关系;而日内收益动量、隔夜收益动量的相反作用则抵消了总体收益的动量效应。(2)在将动量形成期收益率拆解为日内和隔夜两个部分后,在T+1制度下,高风险股票的隔夜收益率低,而低风险股票的隔夜收益率高,从而表现出日内隔夜之间的强反转效应。(3)当市场波动率较高(低)时,T+1约束更强(弱),日内与隔夜反转更强(弱),此时动量策略表现更差(好)。文章既有助于我们加深对动量效应成因及其背后的经济学机制的理解,也有助于政策制定者更加了解中国股票市场制度的潜在影响。Price momentum can be described as the tendency of securities with relatively high(low)past returns to subsequently outperform(underperform) the broader market. As one of the most common phenomena in the capital market,this cross-sectional momentum effect is common in different asset classes.However,the well-documented monthly momentum effect is not common in the Chinese stock market,which is named as the "weak monthly momentum effect" in the Chinese stock market in this paper.Based on the data of A-share listed companies excluding shell stocks from 2000 to 2016,we explain the"weak monthly momentum effect" in the Chinese stock market through an intraday and overnight decomposition approach. This paper has three main findings: First,there exists intraday and overnight momentum in the A-share market,that is,stocks with relatively high(low) past intraday returns outperform(underperform)stocks with relatively low(high) past intraday returns during trading hours subsequently;stocks with relatively high(low) past overnight returns outperform(underperform) stocks with relatively low(high) past overnight returns during market closure subsequently. Besides,the strong reversal effect across these two periods,which is induced by the T+1 trading rule,is the reason behind the "weak monthly momentum effect" in the Chinese stock market. The opposite effect of the intraday momentum and the overnight momentum offsets the momentum effect for the total returns. Second,we find that past intraday winners and past overnight winners show substantial differences across various risk dimensions. Past intraday winners tend to have a small market value(SIZE),high idiosyncratic volatility(IVOL),high volatility(VOL),high average turnover ratio(TURNOVER) and high EP ratio. While past overnight winners tend to have a large market value(SIZE),low idiosyncratic volatility(IVOL),low volatility(VOL),low turnover ratio(TURNOVER),and low EP ratio.Due to the high persistence of stock characteristics,this will lead to higher intraday risk compensation

关 键 词：动量效应 日内动量 隔夜动量 T+1制度 负隔夜折价 

分 类 号：F83[经济管理—金融学]