中国股市换手特征与“消失”的动量效应

Characteristics of Turnover and “Disappeared” Momentum Effect in Chinese Stock Market

高换手和高散户比例是我国股市的重要特征。本文以这两大重要特征为视角,探讨了其对A股月度动量效应的影响。通过构建交易者模型分析了体现换手特征的信息传递速度和平稳性对月度动量效应的影响。实证部分构造了反映信息传递速度和平稳性的全换手天数、换手率标准差指标,利用1997—2020年数据分析指出,信息传递速度越快、稳定性越差时月度动量效应越不显著。进一步分析中探究了换手特征背后的投资者结构对月度动量效应的影响,理论和实证结果指出知情交易者比例越低时,月度动量效应越不显著。A股市场换手畸高,信息传递速度较快且稳定性差,同时A股市场散户较多,综合作用使得A股月度动量效应不显著。本文的分析丰富了动量效应的研究,也为A股市场月度动量效应不显著提供了全新的解释。

High turnover and retail investors are important characteristics of China’s stock market.Taking these two important characteristics as a new perspective,this paper discusses their impact on the monthly momentum effect of Chinese stock market.By constructing a trader model,this paper analyzes the influence of information transfer speed and stability reflecting the characteristics of turnover on the momentum effect.The empirical part constructs the total turnover days and the standard deviation of turnover rate which reflect the speed and stability of information transmission.Using the data from 1997 to 2020,it is pointed out that the faster the speed of information transmission and the worse the stability,the less significant the momentum effect is.Further analysis explores the impact of the investor structure which is the deep reason of turnover characteristics on the momentum effect.Both the theoretical and empirical results show that the lower the proportion of informed traders,the less significant the momentum effect is.The A-share market has abnormally high turnover,fast information transmission speed and poor stability.At the same time,there are many retail investors in the A-share market,so the momentum effect of A-share is not significant.This paper not only enriches the research of momentum effect,but also provides a new explanation for the insignificant monthly momentum effect in A-share market.