证券投资基金动量交易行为的经验研究

An Empirical Study on Momentum Trading by the Securities Investment Funds

本文实证检验了中国证券投资基金动量交易行为。结果表明,基金总体并不表现为动量交易者,其建仓或买入时表现为动量交易者,而清仓或卖出时表现为反转交易者。不同风格基金广泛采用动量及反转交易策略,并且基金投资活动总体加速了个股价值发现过程。

This study tests momentum trading behavior by Securities Investment Fund in China stock market. We find that investment funds do not act as momentum traders as a whole. Further analysis indicates that： （ 1 ） the funds act as momentum trader when they enter or buy stocks but as contrariant trader when they exit or sell stocks; （2） momentum and contrariant strategies are adopted widely by the funds with different investment styles; （ 3 ） trading practices by funds speed stock price towards their intrinsic - value as a whole.