中国股市短期收益反转及成交量效应

Short-Term Price Contrarian and Volume Effect in China's Stock Market

运用Lo,Mavkinlay反转策略设计,Jegadeesh,Titman反转收益分解框架,并引入成交量对中国股市短期(周)反转策略进行了实证研究.结果表明,中国股市存在显著的短期(周)收益反转,反转强度与公司规模相关.反转收益主要来源于对公司特有信息的过度反应,而并非由“领先-滞后”结构驱动.引入成交量冲击能够显著优化反转策略,成交量包含了未来股价走势的重要信息.

A study of the short-term contrarian strategy in China＇ s stock market is conducted by applying Lo, Mavkinlays contrarian strategy,Jegadeesh and Titmans decomposition. Results show that there are statistically significant profits for short-term contrarian strategy in China＇s stock market. Further analysis indicates that： （1） the most important source of short-term contrarian profits is the overreaction to firm-specific information, not the lead-lag structure; （2） the size of contrarian profits is correlated with market capitalization. （3） the introduction of turnover shock significantly optimizes the contrarian strategy, implying that turnover comprises some important information about the future stock price. The models of both De Long and Hong, Stein, as well as market manipulation can account for the short-term contrarian profits.