基于股市动量策略的实证研究

Investigation of Stock Market Momentum Strategy Base on Case Study

寻找能够在股市中长期稳定获得超额收益的投资策略一直是投资界和学术界关切的热点,超短期追涨策略一直也被实务界视为赢利法宝,为实证超短期追涨策略的获利性,本文以形成期涨幅指标及实务性的视角来构造沪深A股的动量策略,结果表明中国股票市场短期内不具有"强者恒强"的收益特征,否定了中国股市超短期"追涨杀跌"交易策略的有效性.

It is always a hotspot to search an invest strategy which can obtain long exceed income in Stock Market. On the other hand, to chase rising during ultrashort-term is thought as a key by some people who believe practicali- ty. This paper constructs the Momentum Strategy of Shanghai and Shenzhen A Stock based on the guideline that formed period rising and from the angle of practicality in order to prove its profit. The result indicates that during ultrashort-term the income character which the strongers last does not exist in China＇ s Stock Market and therefore denies the validity of exchange strategy in China＇ s Stock Market, which is ＂to chase the rising and give up the fall- ing＂.