摘要
我国资本市场动量效应与反转效应是否存在及存在特征尚无定论,对于其形成机理的研究也不够深入。基于此,利用上证A股2012年1月至2017年1月的股票月收益数据对动量效应与反转效应进行检验,并引入综合情绪指数CICSI来研究投资者乐观和悲观情绪对动量效应与反转效应的影响。结果表明:上证A股不存在显著的动量效应,但在短期内存在显著的反转效应;股票市场的状态对于反转效应的产生具有重要作用,相对于平缓期,股市在动荡期更容易出现反转效应;投资者极端情绪会影响到反转效应,乐观情绪增强了反转效应的强度,悲观情绪则会对其产生抑制。
The existence and characteristics of momentum effect and reversal effect in China’s capital market are still uncertain,and the research on its formation mechanism is not deep enough.Based on this,this paper uses the monthly earnings data of Shanghai A-share from January 2012 to January 2017 to test the momentum effect and reversal effect,and introduces the comprehensive sentiment index CICSI to study the impact of investors’optimism and pessimism on the momentum effect and reversal effect.The results show that,there is no significant momentum effect in Shanghai A-share market,but there is a significant reversal effect in the short term.The state of the stock market plays an important role in the reversal effect,and the stock market is more prone to reversal effect in turbulent period than in calm period.The extreme sentiment of investors will affect the reversal effect,and optimism increases the intensity of the reversal effect,while pessimism inhibits it.
作者
林红新
宋高雅
花俊国
Lin Hongxin;Song Gaoya;Hua Junguo(School of Economics and Management,Henan Agricultural University,Zhengzhou 450046,China;Breeding Cattle Genetic Performance Testing Center,Zhengzhou 450046,China)
出处
《金融理论探索》
2020年第1期8-18,共11页
Exploration of Financial Theory
基金
国家自然科学基金项目“新常态下多种货币政策工具的组合效应与特质效应——基于FAVAP模型的理论与应用研究”（71661009）
河南省软科学研究计划项目“高质量发展下基于管理者能力的创新投资同群效应与减缓对策研究”（182400410062）
