摘要
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.
出处
《金融研究》
CSSCI
北大核心
2014年第3期152-163,共12页
Journal of Financial Research
关键词
技术分析
移动平均
市场时机
Technical analysis, Moving average, Market timing