基于一种短线投资模式的A股市场实证研究

中国的A股上市公司在分红和复合增长方面存在不足,股价波动剧烈,A股市场上短线投资策略相对于长线价值投资策略更加流行。中国关于A股市场投资策略更多的是研究上市公司的基本面,如营运能力、盈利能力等,进而分析其投资价值,而关于短线投资策略的研究很少。立足短线投资策略,采用概率和统计检验以及多元线性回归的方法,利用A股市场2012年2月24日之前的64个交易日里498只(次)涨停股票的数据,证明涨停之后短期内股价具有上涨的惯性,且涨幅与量比、换手率和大盘涨幅的回归关系显著。

An Empirical Study of A-share Market Based on a Short-term Investment Model

There is deficiency of listed companies in A-share market in participation in profit and sustained growth. In addition, extreme variability of stock price is common. As a result, short-term investment strategy is more popular than the long-term value investment strategy in A-share market. However, domestic research on A-share market investment strategy is more of the fundamentals of listed companies, such as operating capacity, profitability, etc. , and then analyzing the investment value, but research on short-term investment strategy is limited. Based on short-term investment strategy, the article uses probability and statistics test and the method of multiple linear regression, with the data of the 498 stocks whose price limits up in 64 trading days before the February 24, 2012, proves that in the short time after limit-up, the rise of price has inertia, and the regression relationship between the range and quantity ratio, turnover rate, and market index is significant.