中国股市存在动量效应还是反转效应——基于噪声交易的计量分析  

Does China′s Stock Market Exhibit Momentum Effect or Reversal Effect?A Quantitative Analysis Based on Noise Trading

作　　者：邬文欣 WU Wen-xin(Economics School,Anhui University,Hefei Anhui 230000)

机构地区：[1]安徽大学经济学院,安徽合肥230000

出　　处：《巢湖学院学报》2023年第6期67-79,共13页Journal of Chaohu University

摘　　要：基于国泰安数据库上2010到2022年的A股股市数据,运用构建JT投资策略的方法,对我国股市不同噪声下股票的动量效应以及反转效应进行计量分析。研究表明:A股股市在月度层面低噪声交易股票存在显著的动量效应,而在高噪声股票中存在显著的反转效应,其产生的收益都不能被Fama-French三因子模型所解释;融资融券政策显著降低了高噪声下的反转效应,但不能减小低噪声下的动量效应;在市场信息传播时滞存在的基础上,股市大量个人投资者的噪声交易推动了月度层面上股市反转效应的形成,掩盖了股市原有的动量效应,导致我国股票市场广泛存在反转效应的同时,局部存在动量效应。根据结论提出相关政策建议:提高投资者的相关知识教育;完善融资融券制度扩大融资融券标的股覆盖范围;强化上市企业的信息披露机制。The paper is based on A-share stock market data from 2010 to 2022 in the CSMAR database,and uses JT investment strategy to quantitatively analyze the momentum effect and reversal effect of stocks under different noise levels in China′s stock market.It is found that:In A-share stock market,there is a significant momentum effect in low-noise trading stocks at the monthly level,while a significant reversal effect exists in high-noise stocks,the returns cannot be explained by the Fama-French three-factor model;The margin trading policy significantly reduces the reversal effect under high noise,but cannot reduce the momentum effect under low noise;Based on the existence of information delay in the market,the noise trading of a large number of individual investors in the stock market has promoted the formation of the reversal effect at the monthly level,masking the original momentum effect of the stock market,and leading to the widespread existence of the reversal effect and the partial existence of the momentum effect in the Chinese stock market.Finally,based on the conclusions of the article,relevant policy suggestions are proposed:Enhance investors′relevant knowledge education;Improve the margin trading system and expand the coverage of the target stocks for margin trading;Strengthen the information disclosure mechanism of listed companies.

关 键 词：动量效应 反转效应 噪声交易 信息传播时滞 

分 类 号：F832.5[经济管理—金融学]