中国股市“反向效应”和“动量效应”的实证研究

The Empirical Analysis of "Contrariant Effect" and "Momentum Effect" on the Chinese Stock Market

本文对中国股市的"反向效应"和"动量效应"进行了研究,实证结果显示:中国股市存在显著的短期性"反向效应"和中期性"动量效应"。依据本文的分析,造成中国股市存在这两种效应的基本原因在于:(1)股市存在对上市公司特质性信息的过度反应;(2)股票收益中存在"带头—滞后结构效应";而这两个基本因素又是内生于中国股市的特质性。

This paper researches empirically the contrariant effect and momen- tum effect of the Chinese stock market,after the empirical analysis,We find some evidence that the Chinese stock market exists remarkable short-term contrari- ant effect and metaphase momentum effect.According the textual analysis,the two kinds of effects on the Chinese stock market results in the following reasons:At first,the stock market exists overreaetion on the particularity information of the listed companies;On the second,the income of stocks has'lead-lag structure effect';and that the two essence element due to the particularity of the Chinese stock market.