中国股市基于成交量的价格动量策略

Volume-Based Price Momentum Strategies in China Stock Market

根据1999年Hong和Stein信息逐渐扩散的行为模型,构建了中国股市基于成交量的价格动量策略.结果表明,低成交量组合中存在着显著的中期动量,并且持有低成交量赢者组合,明显能够战胜市场组合.成交量包含未来股价走势的重要信息,能够测度私有信息的扩散速度及动量交易的规模.传统风险因子对策略收益缺乏解释力,与信息逐渐扩散模型假设相一致,私有信息或公司特有信息的缓慢扩散,造成股价对信息反应不足,从而产生了价格动量.此外,由于信息不对称引发的股价操纵行为,对价格动量也具有一定解释力.

Based on the gradual-information-diffusion model of Hong and Stein（1999）, volume-based price momentum strategies in China＇ s stock market are derived. Test results show that there are statistically significant profits for medium-term momentum strategy in the low volume portfolio, furthermore, buying and holding the low volume winner portfolio can significantly outperform the market portfolio. It is proposed that volume comprises some important information about the future stock price, and it may be a proxy of the speed of information diffusion and the amount of momentum trading. Risk factors are not sufficient in explaining the abnormal return; underreaction to firm-specific information caused by information slowly diffusing leads to price persistence consistent with the hypothesis of gradual-information-diffusion model. In addition, the price manipulation caused by information asymmetry also accounts for the price persistence.