中国股票市场是否存在趋势？

Are There Trends in Chinese Stock Market?

世界上大多数股票市场存在着惯性效应(momentum effect),即股票价格变化与半年或一年前的变化趋势一致,但该效应对中国股市并不适用。本文研究短期趋势,基于技术分析工具,第一次证明中国股票市场确实与世界上其他股票市场(例如美国的股票市场)一样存在着趋势。在中国股票市场上,从短期趋势跟踪(trend-following)策略中获得的α收益在经济意义上和统计意义上均显著。研究结果显示,行为金融和不对称信息下的投资理论对中国股票市场的解释,与它们对世界上其他股票市场的解释一样有效。

Most stock markets world - wide have the momentum affect that stock prices tend to move in the same direction half or a year ago, but not in China＇s When we consider short - term trends captured by technical analysis, we find for the first time strong empirical evidence that the Chinese stock is as trending as other mar- kets are, say the US. The abnormal returns from short - term trend - following are both economically and statis- tically significant. Our results suggest that behavior finance and investment theory with asymmetric information are as relevant in China as they are elsewhere in the world.