基于股票价格残差的动量策略及其有效性检验

Momentum strategy based on stock price residual and its validity test

针对动量效应在中国股市存在性的争执以及Jegadeesh和Titman(1993)提出的动量策略在中国股市的黯然失色,本文从经典金融框架出发,以股票价格残差(SPR)为基准构建了一种新的SPR动量策略,结果发现:SPR动量策略在超短期、短期以及中期时可以获得显著为正的平均累积超额收益率,证实了中国股市动量效应的存在性;接着对不同行情下的SPR动量策略的有效性进行对比分析;最后考虑交易成本后,检验发现SPR动量策略在理论与实践上均有效。

To the dispute of momentum effect in chinese stock market＇s existence and momentum strategies proposed by JegadeeshTitman（1993） overshadowed in the chinese stock market. From the classic financial framework, this paper takes the stock price residual（SPR） as a benchmark to build a new momentum strategy, and found that： at the time of ultra-short-term,short-term and medium-term, the momentum strategy of SPR can get significantly positive cumulative abnormal return, confirmed the Chinese stock market the existence of momentum effect; then the effectiveness of the momentum strategy of SPR was compared under different market stations; and finally, after considering transaction costs, inspection found the momentum strategies of SPR in theory and practice are feasible.