中国A股市场动量效应和反转效应:实证研究及其理论解释

Momentum and Reversal Effects in China's A-Share Market:Empirical Evidence and Theoretical Interpretation

本文模拟上证180指数交易,通过考察动量和反转策略的收益情况验证中短期动量效应和反转效应的存在性,并分析不同市场形势下的效应差异,之后根据流通市值将A股市场划分为大盘股和小盘股,探讨交易量冲击和收益率冲击下的股价反应不足或过度反应与动量或反转效应之间的关系。论文在BSV模型和HS模型的基础上,对动量和反转效应的形成机制提供一个可能的解释。

This paper studies the existence and the mechanism of the momentum and reversal effects in China's A-stock market.The empirical results indicate the existence of the reverse effect in short-term and that of momentum effect in medium-term.The market situation has obvious effect on the momentum effect but only obscure effect on the reversal effect and the reversal effect is more obvious in the small stock market than in the bulk stock market.Explanations are provided based on the BSV model and HS model.