基于融资融券的动量反转选股策略研究  

Research on Selection Strategy of Momentum Reversal Stock Based on Margin Trading

作　　者：葛腾飞 朱文静 王欢 王滇虹 GE Tengfei;ZHU Wenjing;WANG Huan;WANG Dianhong(School of Economics and Management,Maanshan University,243100,Maanshan,China)

机构地区：[1]马鞍山学院经济与管理学院,马鞍山243100

出　　处：《北方工业大学学报》2020年第5期37-42,共6页Journal of North China University of Technology

基　　金：2019年度安徽高校人文社会科学研究重点项目“外部干预对个人利他性经济决策影响研究”(SK2019A0793)。

摘　　要：本文以新能源行业中具备融资融券条件的股票为研究对象,以动量反转理论为指导,实证检验样本股票短期动量效应和长期反转效应的存在性;进一步构建动量反转投资组合,并验证该策略组合可以获得显著的超额收益.研究表明,持有期越长,动量反转效应越显著,所构建投资策略获得的超额收益越大;策略组合无论在市场行情较好,还是市场低迷时都可以获得超额收益;反转效应总体要比动量效应能获得更高的超额收益.Based on the theory of momentum reversal,this paper empirically tests the existence of short-term momentum effect and long-term reversal effect of the sample stocks,constructs momentum and reversal portfolio,and verifies that the strategy combination can obtain significant excess return.The research shows that:first,the longer the holding period,the more significant the momentum and the reversal effect,the greater the excess return obtained by the constructed investment strategy;second,the strategy combination can obtain the excess return no matter in the better market or in the downturn market;third,the overall reversal effect can obtain higher excess return than the dynamic effect.

关 键 词：融资融券 动量策略 反转策略 赢家组合 输家组合 

分 类 号：F790[经济管理—产业经济]