| 沪市股票的惯性与反转效应实证研究 |
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| 引用本文： | 汤国栋.沪市股票的惯性与反转效应实证研究[J].江苏工业学院学报(社会科学版),2006,7(2):22-26. |
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| 作者姓名： | 汤国栋 |
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| 作者单位： | 南京大学工程管理学院 江苏南京210093 |
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| 摘 要： | 股票价格的惯性和反转一直是国内学者研究的热点问题,从缩短形成期持有期和引入交易频率两个新的视角,利用2001-2003年沪市交易的股票作为样本来研究股票价格惯性和反转效应。实证结果表明超短期(3个交易日)内存在反转现象,并且在引入交易频率重新分组后,出现了不同的结果且显著性水平较高。
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| 关 键 词： | 短期 惯性效应 换手率 行为金融 BHS模型 |
| 文章编号： | 1672-9048(2006)02-0022-05 |
| 修稿时间： | 2005年12月8日 |
Empirical Study of Short-term Momentum and Contrarian in Shanghai Stock Exchange |
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| TANG Guo-dong.Empirical Study of Short-term Momentum and Contrarian in Shanghai Stock Exchange[J].Journal of Jiangsu Polyetchnic University:Social Science Edition,2006,7(2):22-26. |
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| Authors: | TANG Guo-dong |
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| Abstract: | As a anomaly,Momentum and Contrarian Effect was researched by many scholars.The sample of this research is all stocks in Shanghai Stock Exchange in 2001-2003.We shorten forming and holding term of groups of Winner and Loser.So we found short-term Contrarian Effect.If the grouping of Winner and Loser depended on turnover,some results are different from those which tested by others whose grouping is classic. |
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| Keywords: | Short-term Momentum Contrarian Behavioral Finance BHS model |
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