基于风格指数轮动效应的A股择时策略研究  

A Study on the Timing Strategy of A Shares Based on the Rotation Effect of Style Index

作　　者：杨晓蓉[1] 计敏杰 张可欣 刘嫣 

机构地区：[1]浙江工商大学统计与数学学院/统计数据工程技术与应用协同创新中心

出　　处：《价格理论与实践》2022年第6期100-104,193,共6页Price:Theory & Practice

基　　金：浙江省自然科学基金(LY22A010006);国家社会科学基金(17BTJ027);浙江省属高校基本业务专项资金资助;浙江省重点建设高校优势特色学科(浙江工商大学统计学)。

摘　　要：我国资本市场的快速发展,使得风格配置策略逐渐成为量化投资领域新的热点。本文从价值/成长风格轮动视角出发,通过非参数符号检验A股市场价值/成长风格轮动现象的存在性,并将动量效应引入价值/成长风格指数的择时过程。实证结果表明:A股市场在存在价值溢价的同时,也存在不可忽视的价值/成长风格轮动现象,并且这种轮动现象可以被动量效应识别;相比于单一价值风格策略和成长风格策略,基于动量效应的价值/成长风格择时策略表现出更强的盈利能力和抗风险能力。因此,更多的价值/成长风格轮动相关金融产品是值得构建并进入市场的。With the rapid development of Chinese capital market, style allocation strategy has gradually become a new hotpot in the field of quantitative investment. From the perspective of value/growth style rotation, this paper verifies the existence of A-share market value/growth style rotation through non-parametric sign test, and introduces momentum effect into the timing process of value/growth style index. The empirical results show that while there is a value premium in the A-share market, there is also a value/growth style rotation phenomenon which can be identified by the momentum effect, cannot be ignored. Compared with single value and growth style strategy, value/growth style timing strategy based on momentum effect shows stronger profitability and anti risk ability. Therefore, more value/growth style rotation related financial products are worth building and entering the market.

关 键 词：资本市场 价值/成长风格轮动 动量效应 多因子选股 

分 类 号：F832.51[经济管理—金融学]