上海股票市场动量效应研究——基于1995—2009年周收益率数据

Study on Momentum Effect of Shanghai Stock Market:Based on Weekly Data During 1995-2009

利用1995年1月至2009年12月期间上海证券交易所所有A股股票的日收益率数据,以本周四到下周三为一个周期计算周收益率,采用重叠抽样方法,对上海股票市场的动量效应进行实证研究。结果表明：上海股票市场存在动量效应现象,但动量效应持续的期限要短于西方发达国家的股票市场;当形成期为1周、持有期为1~3周时,投资策略组合表现出显著的动量效应;当形成期大于1周、持有期超过3周时,投资策略组合开始出现收益反转现象;当持有期和形成期增大到12~26周时,投资策略组合又表现出不显著的动量效应。

Using the daily return data of A-share at Shanghai stock market from January 1995 to December 2009,this paper calculates the weekly return through taking from Thursday to next Wednesday as one cycle,and uses the overlap sampling method to study empirically the momentum effect existing in Shanghai stock market.The results show as follows：the momentum effect exists in Shanghai stock market,but its duration is shorter than those of western developed countries;the portfolio with the formation period of 1 week and the holding period of 1～3 weeks demonstrates significant momentum effect;the portfolio with the formation period beyond 1 week and the holding period over 3 weeks begins to display return reversal effect;however,when their formation period and holding period extend to 12～26 weeks,the portfolio shows no remarkable momentum effect.