长期冲击、价格调整与股票组合收益的互相关关系

本文研究了以流通规模为基础的大、小股票组合之间的互相关关系。小股票组合对大股票组合显著为负的滞后引导关系表明基于价格调整速度差异的信息扩散机制在我国股市并不存在,这需要结合我国证券市场特定的投资者构成和投资行为才能给予可能的解释。组合收益率的长记忆性对互相关关系检验的有效性有着不可忽略的影响,在剔除长期因素的影响之后,组合之间的互相关关系有所减弱或消失。

Long-Term Impact, Price Adjustment and the Cross-Autocorrelations between Stock Portfolio Returns

The paper researches the cross-autocorrelations among stock portfolios with different sizes of circulation.The significantly negative lead-lag correlations of smaller portfolios to bigger portfolios indicate that the traditional information transm ission mechanism based on the difference of price adjustment speeds doesn't exist in Chinese stock market.It maybe gives the unusual phenomenon a possible explanation from the angle of the special investor compositions and investor behaviors in Chinese stock market.We also find that the weak long memory characteristic has significant impact on the cross-autocorrelations among the size-based portfolios and the cross-autocorrelation weakens or disappears after eliminating the influence of long memory.