摘要
本文运用随机占优理论对中国股票市场上的赢家组合、输家组合以及惯性交易策略的有效性进行了实证检验,研究发现在排序期中赢家组合和输家组合的年度收益率分别为48.9%和-39.8%,但持有期的赢家组合和输家组合的年度收益率的绝对值低于排序期,分别为9.76%和-0.89%。运用Barrett-Donald KS的二阶和三阶随机占优检验结果也显示对于不同的样本排序期和持有期,赢家组合确实随机占优于输家组合,从而验证了中国股票市场上"强者恒强、弱者恒弱"的股市定律及"追涨杀跌"交易策略的有效性。
This paper employs a stochastic dominance model to investigate the momentum effect in China's stock market.Using the daily trading data from January 1995 to December 2006,we report the average annual returns of winner portfolio and loser portfolio in the ranking period are 48.9% and -39.8% respectively.The momentum profits persist over the time.However,the annual returns of winner portfolio and loser portfolio in the holding period drop dramatically.The momentum profits for 6-month and 12-month holding period are 18.08% and 2.73% respectively.The Barrett-Donald KS second order and third order stochastic dominance test provides evidence of winner dominance over the sample period.
出处
《中南财经政法大学学报》
CSSCI
北大核心
2009年第5期82-85,89,共5页
Journal of Zhongnan University of Economics and Law
基金
中国博士后科学研究基金资助项目"国家外汇储备的多元化和国际资产风险管理模型"(20070410290)
浙江省社会科学研究基地省社科规划立项课题"‘地下’金融机构的转化与政府监管机制研究--基于金融发展的角度"(07JDGZ12YB)
关键词
惯性交易
赢家组合
输家组合
随机占优
Momentum Strategy
Winner Portfolio
Loser Portfolio
Stochastic Dominance
