沪市股票的惯性与反转效应实证研究

Empirical Study of Short-term Momentum and Contrarian in Shanghai Stock Exchange

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。

As a anomaly, Momentum aiiu Contrarian 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.