中国股市反向效应和动量效应的实证研究
摘要
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“反应效应”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:股市存在对上市公司特质性信息的过度反应;股票收益中存在“带头—滞后结构效应”。而这两个基本因素又内生于中国股市的特质性。
出处
《经济管理》
CSSCI
北大核心
2003年第22期70-77,共8页
Business and Management Journal ( BMJ )
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