中美市场投资者惯性和反转交易偏好的实证研究

Empirical Studies on Investors'Trading Preference for Momentum and Contrarian Strategies in Chinese and American Markets

为了探索中国和美国证券市场的惯性和反转收益异常现象差异,本文参考了Jegedeesh和Titman的累计超额收益CAR研究方法,选取了2000年1月~2020年2月美国证券市场和中国证券市场股票数据构建了不同时期的收益期和检验期惯性和反转策略。为了检验结果的稳健性,本文还加入24个月和36个月的窗口期。同时,为了比较两国投资者之间的投资差异,本文构建惯性策略并选取企业规模、价值和波动3个指标来衡量两国间投资者差异。结果表明整体美国市场短期内具有明显的动量效应,而中国市场在短、中、长期都具有显著的反转效应。两个市场中,中国市场的投资者偏好小市值、高成长价值和高波动性的股票,而美国投资者则偏向大市值股票和低波动性股票。基于两个市场的差异(新兴市场和有效市场),本文找到了一些美国市场的先进投资经验,它对规范我国投资市场有重要的借鉴意义。

For better understanding the difference between the momentum and contrarian return anomalies in Chinese and the U.S.Securities Market,this paper selects the stock data of the New York exchange and China stock exchange from January 2000 to February 2020 by referring to the Cumulative Abnormal Return(CAR)method of Jegedeesh and Titman,and constructs the momentum and contrarian strategies of different periods.In order to test the robustness of the results,window periods(24 months and 36 months)are added.At the same time,in order to compare the investment differences between the two countries,this paper constructs the momentum strategy and selects three indicators of enterprise size,value and volatility to measure the investor differences between the two countries.The results show that the overall the U.S.market has a significant momentum effect in the short term,while the Chinese market has a significant contrarian effect in the short,medium and long-term.In the two markets,Chinese investors prefer stocks with small market value,high growth value and high volatility,while American investors prefer stocks with large market value and low volatility.Based on the differences between the two markets(the emerging market and the efficient market),this paper finds some advanced investment experience in the U.S.market,which has valuable reference for standardizing China's investment market.