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本文基于股票价格波动的弹塑性理论,从一个新的视角探讨了中国金融市场中的惯性和反转的金融异象。通过采用2005-2011年A股市场的全样本数据,实证检验股票价格的弹性和塑性特征,从而一定程度上验证了反转效应和惯性效应的原因,进而证明市场惯性和反转这种金融异象普遍存在于中国A股市场。区别于以往的研究,本文不再仅仅对表现"最优"和"最差"的股票样本进行检验,转而对市场中全部的股票样本进行了分析。研究成果对于探讨价格变动的内在规律性具有理论意义和实证价值。在此基础上,本文还分年度对弹塑性系数进行了估计,证实了随着中国证券市场制度建设的深入,证券市场逐步发展成熟,市场效率逐渐提高。
Abstract：Based on the price fluctuation theory—Elasticity-Plasticity Model,this paper studies the momentum and reversal anomalies in stock market of China from a new perspective. By using 2005- 2011 whole samples of China A-share market,we empirically analyze the elasticity and plasticity properties of individual stocks,and verify the causes of momentum and reversal phenomenon to a certain extent. In this way,we find the evidence that these anomalies prevail in the China A-share market. The whole samples method is different from the previous ones that barely testified the investment portfolio of best performed( winners) and worst performed( losers) stocks. Our results on inherent law of price fluctuation have both theoretical and practical value. Furthermore,we also evaluate the model coefficient,and testify the improvement of institutionalization and market efficiency in China.
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①选取30日移动平均价,主要是考虑到30日均线在实际交易操作中被普遍采用作为股票的压力线。同时我们也分别对10日、20日、30日移动平均价格分别做了实证分析,结果显示采用30日移动平均价的模型拟合效果在不同的时间频率上均为最好。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2013.12.014
中图分类号:C812;F832.51
引用信息:
[1]翟爱梅,罗伟卿.惯性反转效应是市场的偶然还是普遍规律[J].统计研究,2013,30(12):100-109.DOI:10.19343/j.cnki.11-1302/c.2013.12.014.
基金信息:
国家社会科学基金“股价弹塑性与中国市场的股票锁定量问题研究”(12CJY116);; 教育部人文社会科学项目基金“股票价格波动的弹塑性、模型及应用研究”(11YJC790259);; 中央高校基本科研业务费专项资金“股票锁定量及其在金融监管和投资分析领域的应用研究”(1209136)资助
2013-12-15
2013-12-15