反转与惯性投资策略在中国证券市场的适用性分析

Analysis on Applicability of Contrarian Strategy and Momentum Strategy in China’s Securities Market

用实证检验的方法考察了反转与惯性投资策略在我国市场上的适应性,并进一步研究基金对于这两种投资策略的应用及其跟绩效的相关性。实证结果显示,短期策略中,惯性策略可以获得正的收益;而中期策略中,惯性策略的收益率则表现不明显,反转策略可以获得正的收益,这与西方国家在中短期普遍存在的惯性收益结果基本一致。目前证券投资基金是我国最大的机构投资者,因此,考察证券投资基金的投资理念及其重仓股的波动性分析并试图分析产生这种现象的原因,从而为管理层的监管与规范市场提供一个参考,同时也为市场参与各方的投资提供重要参考依据。

This paper used empirical methods to verify the applicability of contrarian strategy and momentum strategy in China’s securities market.Furthermore,I researched the correlation between the applications of these two investment strategies and fund performance.The empirical results show that in the short-term strategy,momentum strategy could get positive earnings;but in the medium term strategy,contrarian strategy could get positive earnings.This result is consistent with Western countries’results.Currently,Securities Investment Fund is the largest institutional investors in China.So that,this paper investigates the investment philosophy of Securities Investment Funds,and explains the volatility of blue chips.Consequently,It provides references for management level,and so on,it provides important references to market participants.