中国股市跨行业动量效应和反转效应研究

Cross-industry Momentum and Reversal in the China Stock Market

动量效应和反转效应是两种重要的金融异象,质疑了有效市场假说。本文以2000～2009年的A股上市公司为研究样本,采用不同的形成期搭配不同的持有期下的投资策略考察了中国股市跨行业动量效应和反转效应。研究结论表明:在沪深A股市场,按下游行业收益率排序的零投资策略主要表现为动量效应,按上游行业收益率排序的零投资策略主要表现为反转效应。从短期来看,跨行业动量或反转效应普遍不显著。持有期中长时,结果的显著性明显提高。跨行业动量或反转效应通过CAPM、Fama-French、Carhart模型调整后仍然显著。

Momentum and reversal effects are two kinds of important anomalies which challenge Efficient Market Hypothesis. Based on the sample data of the Chinese listed firms during 2000 - 2009, this paper uses investment strategy under different formation periods and holding periods to study the cross-industry momentum and reversal effects in the China stock market. Our main results show that the zero investment according to returns of down- stream industries mainly has momentum effects and the zero investment according to returns of upstream indus- tries mainly has reversal effects. In a short period, cross-industry momentum or reversal effects are not usually significant. In a middle period and a long period, cross-industry momentum or reversal effects are usually signifi- cant. After controlling CAPM, Fama-French 3-factor model, and Carhart model, the resu}ts are still significant.