中国证券市场反向及动量投资策略的实证研究

从行为金融学的角度出发,以中国沪深两市2003年1月至2014年12月所有上市A股数据为样本,并将形成期与持有期分别设定为3个月、6个月、12个月、36个月、60个月,共构成25种投资方案,在更广阔的研究范围内,用实证研究的方法考察反向投资策略和动量投资策略在中国证券市场上是否适用。结果表明,在中国股市中存在明显的反转和动量现象,且赢家组合主要表现为显著的长期动量现象,而输家组合表现为显著的反转现象。指出中国证券市场并不是一个有效的市场,在中国证券市场中采用反向及动量投资策略是可以盈利的。

Empirical research on contrarian and momentum investing strategies in Chinese security market

From the perspective of behavioral finance, taking the data of all Share A stocks listed on Shanghai security market and Shenzhen security market from January 2003 to December 2014 as the sample, a total of 25 investment options is constituted based on the formation period and test period being respectively set as 3 months, 6 months, 12 months, 36 months, and 60 months. In a wider range research, the applicability of contrarian investing strategy and momentum investing strategy in Chinese security markets is observed with empirical research method. The results show that the evident contrarian and momentum phenomena exist in Chinese stock market, and a significant long-term momentum phenomenon is mainly showed by winner portfolio, while the loser portfolio shows a significant contrarian phenomenon. It is pointed out that Chinese security market is not an efficient market, and using the contrarian and momentum investing strategy in Chinese security market can be profitable.