中国股市个股非流动性、换手率和短期反转的关系

The Relationship of Illiquidity,Turnover and Short-run Reversals of Individual Stock in China’s Stock Market

本文在排除买卖报价反弹、周末效应等干扰因素的前提下,利用分组构建逆势投资组合及Fama-Macbeth回归方法,研究周期下我国股市中的短期收益反转现象。实证结果表明:我国股市中存在短期收益反转现象,短期反转在股票输家中表现更为明显;股票收益的短期反转随着非流动性的增强而增强;我国股市具有极高换手率的投资组合表现出特殊性,极高换手率对股票输家的短期收益反转具有抑制作用,而对股票赢家的短期收益反转具有促进作用。

Under the premise that interference factors such as rebound of bid and asked prices and weekend effect are eliminated, this paper studies the short-run reversals in China＇ s stock market by applying the contrarian strategy and Fama-Macbeth type regression. The empirical results indicate that short-run reversals exist in China＇ s stock mar- ket, and loser stocks exhibit more reversals than winner stocks. The short-run reversals increase with the increase ofilli- quidity. The turnover rate could hardly show prediction to short-run reversals, but portfolios with extreme high turn- over rate have obvious characteristics. Extreme high turnover will suppress the loser stocks＇ short-run reversals, but has an opposite effect on the winner stocks.