| 中国股市跨行业动量和反转策略收益来源分析 |
| |
| 引用本文： | 李志超,王苏生,王丽,刘艳.中国股市跨行业动量和反转策略收益来源分析[J].华北电力大学学报(社会科学版),2012(4):25-28. |
| |
| 作者姓名： | 李志超 王苏生 王丽 刘艳 |
| |
| 作者单位： | 1. 哈尔滨工业大学深圳研究生院,广东深圳,518055
2. 金蝶软件（中国）有限公司金蝶研究院,广东深圳,518055 |
| |
| 摘 要： | 本文将Lo和Mackinlay(1990)的动量收益分解方法,扩展到跨行业动量和反转策略来源分析中,对中国A股市场2000-2009年的数据进行了实证研究。实证结果显示:按下游行业收益率排序的期望收益主要表现为动量效应,按上游行业收益率排序的期望收益主要表现为反转效应,之所以两者表现不同,是由于在收益来源中,不同行业收益率之间前后期交互相关性、同行业收益率前后期的自相关性、横截面上关联行业收益率的相互关系所占比例随着形成期和持有期的不同发生变化。
|
| 关 键 词： | 动量策略 反转策略 收益来源 |
Analysis on Sources of Returns of Cross-Industry Momentum and Contrarian Strategies in Chinese Stock Market |
| |
| LI Zhi-chao,WANG Su-sheng,WANG Li,LIU Yan.Analysis on Sources of Returns of Cross-Industry Momentum and Contrarian Strategies in Chinese Stock Market[J].Journal of North China Electric Power University(Social Sciences),2012(4):25-28. |
| |
| Authors: | LI Zhi-chao WANG Su-sheng WANG Li LIU Yan |
| |
| Institution: | 1(1.Shenzhen Graduate School,Harbin Institute of Technology,Shenzhen 518055,China; 2.Jindie Software Company Ltd.,Shenzhen 518005,China) |
| |
| Abstract: | This paper extends the method of Lo and Mackinlay(1990) to analyze cross-industry momentum and contrarian strategies and makes empirical research based on data of Chinese A stock market from 2000 to 2009.The results indicate that expected returns of strategies sorted by customer industries mainly exhibit momentum effects and those of strategies sorted by supplier industries mainly exhibit contrarian effects.The differences are caused by different proportions of own-autocovariances,cross-autocovariances and cross-sectional dispersion of unconditional means with different formation periods and holding periods. |
| |
| Keywords: | momentum strategies contrarian strategies sources of return |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
