| 股票互自相关与反转收益的实证研究 |
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| 引用本文： | 赵伟,曾勇.股票互自相关与反转收益的实证研究[J].电子科技大学学报(社会科学版),2008(1). |
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| 作者姓名： | 赵伟 曾勇 |
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| 作者单位： | 电子科技大学管理学院，电子科技大学管理学院 成都610054 西南民族大学经济学院成都610041，成都610054 |
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| 基金项目： | 教育部优秀青年教师资助计划(教人司[2003]355号) |
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| 摘 要： | 采用反转交易策略的方法,构建了沪市A股滞后1～8周的互自相关系数矩阵,发现沪市A股存在与美国股市不同的互自相关关系和领先滞后结构。通过对反转交易策略的盈利进行分解分析,进一步证实了以上结论,发现在沪市A股股票之间的互自相关关系对反转收益的作用是随时间发生变化的。该文的实证结果还暗示,股市是否存在过度反应与考察期跨度的选择有很大关系。
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| 关 键 词： | 反转投资收益 互自相关 信息传播 领先滞后结构 |
Empirical Analysis of Cross-Autocorrelation and Contrarian Profits in Shanghai Stock Market |
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| ZHAO Wei,ZENG Yong.Empirical Analysis of Cross-Autocorrelation and Contrarian Profits in Shanghai Stock Market[J].Journal of University of Electronic Science and Technology of China(Social Sciences Edition),2008(1). |
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| Authors: | ZHAO Wei ZENG Yong |
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| Institution: | ZHAO Wei1,2,ZENG Yong1 |
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| Abstract: | Adopting the methods of Lo et al.(1990) and using weekly return of 234 stocks listed in Shanghai A stock market,this paper conducts the size-sorted cross-autocorrelation matrices with lagging periods from 1 to 8 weeks.The different cross-autocorrelation and lead-lag structure in Shanghai stock market is found compared with those in US stock market reported by Lo et al.(1990).Investigation on Lo-MacKinlay contrarian strategy suggests that the cross-autocorrelation in Shanghai stock market has time-varying role for contrarian profits.This paper also finds that the overreaction may correlate to the different research length. |
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| Keywords: | contrarian profits cross-autocorrelation information transmission lead-lag structure |
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