基于过度反应现象的跨日反转交易策略收益的实证研究——来自沪深300股指期货市场的经验证据  

An Empirical Study of the Returns of Inter-day Reversal Trading Strategies Based on the Overreaction-Evidence from CSI 300 Index Futures Market

作　　者：王晋忠[1,2] 曾俊清 WANG Jinzhong;ZENG Junqing(Southwestern University of Finance and Economics,Chengdu 611130,China;Geely University of China,Chengdu 641423,China)

机构地区：[1]西南财经大学,成都611130 [2]吉利学院,成都641423

出　　处：《中国证券期货》2023年第2期4-18,共15页Securities & Futures of China

摘　　要：过度反应现象是经典的市场异象之一。本文利用事件研究法和假设检验法,结合t-eGARCH模型及VAR模型,对沪深300股指期货市场中基于过度反应现象的跨日反转交易策略的收益,以及相关的量价关系和资本市场间的波动溢出现象进行实证研究。研究显示:(1)沪深300股指期货对重大利好或利空消息存在过度反应,相应的跨日反转交易策略可以获得显著的正收益。(2)若在重大事件日当天出现大交易量,跨日反转交易可以获得比出现小交易量时更加显著的收益。(3)标普500指数的过度波动一定程度上可以作为跨日反转交易策略的入场信号,而恒生指数等其他资本市场指数的异常波动不能成为入场信号。The overeactionis one of the most classicanomalies in the financial markets.This paper uses event-study method and hypothesis testing,combined with t-eGARCH model and VAR model,to empirically study the returns of inter-day reversal trading strategies based on the overreactionphenomenon in the CSI 300 stock index futures market,as well as the relevant questions about the price-volume relationand the volatility spillover among different capital markets,and finds that:CSI 300 stock index futures overreact to significant positive or negative news.The corresponding inter-day reversal trading strategy can achieve significant positive returns.@If a large trading volume occurs in the day of significant events,the inter-day reversal trading can yield more significant returns than when a small trading volume occurs.Excessive volatility of the S&P 500 can be used as an entry signal for the inter-day reversal trading strategy to a certain extent,while excessive volatility of other capital market indices such as the HSI cannot be used as an entry signal.

关 键 词：跨日反转交易策略 事件研究法 假设检验法 量价关系 波动溢出 

分 类 号：F83[经济管理—金融学]