动量与反转效应在中国股票市场的实证研究——基于时间频率和市场状态的分析

The Empirical Research Of Momentum and Reversal Effect On Stock Market Of China——Analysis Based on Time Frequency And Market States

本文综合国内外动量和反转的研究方法,根据不同的组合构建方法,在年、月、周、日时间频率下,系统的研究了我国动量和反转的特性。主要结论:我国存在日频率上的动量效应,在周、月频率上表现为显著的反转效应,周频率上的反转强度高于月频率,年频率反转强度较月频率继续下滑,略微强于动量。等权重法易于得出反转的结论,市值权重法易于得到动量的结论。无论在周频率、月频率、日频率上,观察期6,持有期1,都是反转效应最大的组合。"买入赢家卖出输家"组合Beta显著为负,可以部分解释反转效应。我国股市普遍存在的反转不以市场状态为条件,不论上升或者下降的市场环境中,月度频率上均有反转。

Based on all kinds of research method referring to the momentum and reversal effect, this paper constructs momen- tum portfolio on yearly, monthly, weekly and daily basis to run the empirical test in order to find the characteristics of China stock market.The main findings include：Momentum effect does occur on daily frequency, but reversal effect happens on month- ly and weekly basis, the result is mixed in yearly frequency. Compared with the value weighted return, equal weighted return is apt to get the reversal effect. It happens that 6 ranking period and 1 holding period keep producing maximum reversal effect regardless of frequency.＂long winner and short loser ＂portfolio has statistically negative Beta ,which is consistent with the rever- sal effect. Whenever bull or bear market, Reversal effect always show up on monthly frequency.