我国券商与证券投资基金的惯性反转策略比较研究——基于交易策略弹性指数

A Comparative Research of Momentum and Contrarian Trading Strategy between Security Firms and Security Investment Funds in China:in the Term of Trading Strategy Elasticity Index

为了克服经典GTW模型的缺陷,构造了衡量机构投资者惯性反转策略的指标——"交易策略弹性指数",并以此对中国市场上券商、开放式基金、封闭式基金的行为进行实证研究和比较分析。研究表明,基于股票的当期收益,券商在半数研究期内倾向于采取反转交易策略,而开放式基金和封闭式基金则倾向于采取惯性交易策略,券商可以在一定程度上"中和"开放式基金和封闭式基金行为对市场的影响。

To overcome the shortcoming of the GTW model,a model is structured based on trading strategy elasticity index to measure investors＇ momentum and contrarian trading strategy. This paper makes an empirical study and comparative analysis on the trading strategy of security firms,open-end funds and close-end funds. On the basis of current yield of stocks,security firms funds lean to use contrarian strategy,while the open-end funds and closed-end funds lean to use momentum strategy. These different institutional investors may counteract each other＇s behavior on security market in a certain extent. Hereby,some suggestions are proposed for the development of organization investor in our country.