中国证券市场反向策略研究及其短周期性

Tests of the Contrarian Strategy Evidence from the Chinese Stock Market

证券市场中的反向策略是指购买价格被低估的"价值股票"和抛售价格被高估的"热门股票".国外大量实证研究表明,采取反向策略能获得较高的收益,而我国目前的实证结果争议较大.采用不同于以往大部分国内学者的实证方法,根据股票的价格比例对资产组合进行分类,对我国证券市场上反向策略的有效性进行了实证研究.结果表明,中国证券市场存在反应过度,反向策略行之有效,从而也说明我国证券市场的非有效性.另外,作为新兴市场,中国证券市场和西方证券市场的反向策略存在差异,主要表现在中国股市的反向周期短于西方发达国家,这可能与中国股市的高换手率有关.

The Contrarian Strategy implies buying the 'value stock' which is priced too low and selling the 'glamour stock' which is priced too high. The empirical research in many stock markets indicate that the contrarian strategy outperforms the market. This study researches whether the contrarian strategy can yield higher returns in Chinese stock market. The result reveals that using proper indexes and terms, the contrarian strategy is effective in China. But as an emerging stock market, the condition in China is not the same as in the western countries. The effective contrarian cycle is much shorter in China than in the US. This phenomenon may be caused by the high turnover ratios of the Chinese stock market.