摘要
从收益率和交易量两个角度对中国股市价格动量进行月度数据检验.结果表明,单独基于收益率标准的检验证实中国股市总体不存在价格动量.但增加交易量标准的进一步分析显示,低交易量组合的股票存在价格动量,而高交易量赢者组合的股票发生显著的价格反转,同时"对角策略"存在很大的套利空间.这一结果主要是由于中国股市的特殊结构所致,可以用行为金融模型解释.
After summarizing related documents, this study researches month-interval price momentum based on return and trading volume criteria in Chinese stock market. We find no price momentum when only based on return criterion. When adding trading volume as another criterion, we find momentum profits in low-volume portfolios, while price reversals in high-volume winners. In addition, 'corner portfolios' can produce significant arbitrage profits. We argue that this result is attributed to special structure of Chinese stock market, and is consistent with the behavioral model of Hong and Stein(1999).
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2004年第2期1-7,13,共8页
Systems Engineering-Theory & Practice
基金
国家杰出青年科学基金(70025303)
关键词
价格动量
价格反转
交易量
套利
行为金融
price momentum
price reversals
trading volume
arbitrage
behavioral finence
