沪深A股市场惯性效应与反转效应的比较分析

The Momentum and Contrarian in Shanghai A Stock Market and Shenzhen A Stock Market

采用Jegadeesh等的研究方法,对沪深A股市场惯性效应和反转效应进行了检验和比较.实证结果显示:市场趋势上,沪深两市的走势具有很强的连动性,均表现为短期的惯性收益、中期的反转收益和长期的惯性收益现象;市场表现上,沪深两市均表现了强者衡强、弱者衡弱和追涨杀跌的态势,但深市比沪市表现出了更强烈的惯性策略获利性.

This article studied the momentum and contrarian in Shanghai A stock market and Shenzhen A stock market using Jegadeesh and Titman method. The case study shows that it is of strong relation in stock＇s price of Shanghai A stock market and Shenzhen A stock market. There shows the momentum in short-time and long-time,while the contrarian in mid-time. On the other hand,it has more strong momentum profit in Shenzhen A stock market than in Shanghai A stock.