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1、基于周数据的上海股票市场动量效应实证研究重庆大学硕士学位论文学生姓名：梁 岚指导教师：严太华 教 授专业：金融学学科门类：经济学重庆大学经济与工商管理学院二 O 一一年四月Empirical Study of Momentum Effect inShanghai Stock Market Based On WeeklyDataA Thesis Submitted to Chongqing UniversityIn Partial Fulfillment of the Requirement for theDegree of Master of EconomicsByLiang LanSuper
2、vised by Prof. Yan TaihuaMajor: FinanceCollege of Economics and Business Management of ChongqingUniversity, Chongqing, ChinaApril, 2011重庆大学硕士学位论文摘要中文摘要“动量效应”对传统市场有效理论提出了挑战，长期以来一直是金融界争论的焦点。股票市场在中期是否存在动量收益连续性已经成为近期研究的热点问题。大量的实证研究结果表明，中国股票市场不存在动量效应。但有经验的投资者可以发现，中国股票市场常常表现出的“追涨杀跌”和“寻庄跟庄”等趋势特征，与多数研究者的结论相
3、矛盾。中国股票市场是否存在动量效应，以什么方式出现成为金融理论研究者、股票投资者和监管部门最关心的问题。本文采用 Jegadeesh 和 Titman 的重叠抽样方法，对上海股票市场动量效应进行了实证研究。但本文对 Jegadeesh 和 Titman 的方法进行了改进，由于美国股票市场表现出“牛长熊短”，而中国股票市场则是“牛短熊长”，两个市场有明显的差异，考虑到中国市场的特殊波动性，本文使用周收益率作为研究样本。其次，由于中国股票市场在 1991 年至 1994 年期间，股票数量较少，为了保证动量效应检测的准确性，本文的研究区间设定为 1995 年 1 月至 2009 年 12 月。最后，
4、与国内学者研究方法不同的是：第一，本文选取上海股票市场所有 A 股股票日收益率数据为样本，以星期四到星期三为一个周期计算周收益率；第二，当一支股票日收益率大于 100%或小于-95%时，我们记作“等于”100%或-95%，这样做可以避免动量效应来自小公司或非流动性股票；第三，在投资组合中，若某只股票在持有期的周收益率缺失，我们以同时刻的市场收益率代替。这三个处理保证了本文研究方法的精确性。本文实证研究结果表明: 上海股票市场存在动量效应现象，但期限要短于西方发达国家市场。形成期为 1 周，持有期为 1-3 周的组合表现出显著的动量效应，随着形成期和持有期期限的延长开始呈现收益反转现象，到中期（
5、12-26 周）又出现不显著的动量效应现象。基于本文的研究结果，我们给投资者提出如下建议：买进上海 A 股市场过去的赢家股票，同时卖空输家股票构建投资组合，可以有较高的概率在短期内（1-3周以内）获得超额收益。关键词：股票市场动量效应，赢者组合，输者组合，收益反转效应I重庆大学硕士学位论文英文摘要ABSTRACTMomentum effect challenges the traditional Efficient Market Hypothesis theoryand has been the controversial focus of financial community.Many E
6、mpirical results show that there is no momentum effect in china stockmarket. However, experienced stock investors might find that china stock market showsthe characteristics of “pursues rises kills falls” and “seeks the village with village”which is contradictory to the conclusion of most researcher
7、s. Whether there ismomentum effect and how its existence looks like hence become the most concernedissue of financial researchers, investors and regulators. Therefore, in this paper, we usethe overlap sampling method of Jegadeesh and Titman to empirically study themomentum effect of shanghai stock m
8、arket.Because of the extremely great difference between American and china stockmarketthe American stock market performs “the bull is long bear is short” while thechina stock market shows “the bull is short bear is long”, and considering the uniquefluctuation of china stock market, we, in this paper
9、, modify Jegadeesh and Titmansmethod: we use weekly data instead of monthly data in china stock market as ourresearch sample. Besides, considering there is relatively small number of stocks in chinastock market from 1991 to 1994, we set our study interval from January 1995 toDecember 2009 in order t
10、o make the test more precise. Finally, our study method isdifferent from those of domestic researchers in some aspects: firstly, we select all dailyreturn data of Shanghai stock market a-share and calculates weekly return takingThursday to next Wednesday as one cycle; secondly, we set the returns th
11、at are larger(less) than 100% (-95%) equal to 100% (-95%). This procedure not only helps us filterout suspicious stock returns, but also ensures that the momentum effect is not drivenprimarily by small and/or illiquid stocks; thirdly, if the weekly return of some stock in aportfolio is missing, we r
12、eplace that return with the market return at that time. Thesethree procedures help to guarantee the precision of our method.The results of our study show that momentum effect phenomenon do exists inShanghai stock market, but the duration is shorter than western markets. Thecombination of 1 week form
13、ation period and 1-3 weeks holding period demonstratessignificant momentum effect, and return reversal effect begins to present as theextension of formation and holding period, whereas the medium-term (12-26 weeks)II重庆大学硕士学位论文英文摘要shows no remarkable momentum effect phenomenon.Based on our empirical
14、results, we propose that the investors probably can obtainexcess return in short term (1-3weeks) by buying the past winner stocks, simultaneouslyshorting the loser stocks in shanghai stock market.Keywords: Momentum Effect of Stock Market; Winner Portfolio; Loser Portfolio;Return Reversal EffectIII重庆大学硕士学位论文目录目录中文摘要.
