国内股市投资期限与反向投资、动量交易策略的实证研究-技术经济与管理专业论文.docx

浙江大学硕十学位论文 浙江大学硕十学位论文 国内般市投资期限与反向投资、动量交易策略的实证研究 摘要 现代金融理论对证券市场出现的许多与有效市场理论相悖的市场异象难以作出 合理的解释，而利用基于部分理性的行为金融学则通过心理学与人类行为学等研究， 对这些市场异象作出与以往不同的新角度的诠释，充分考虑了市场参与者的心理因 素，为人们理解金融市场提供了新的视角。尤其是对处于逐渐向弱有效方向发展的 我国证券市场，借鉴行为金融的理论模型和投资策略更具有实用意义。 行为金融策略中最为典型的是反向投资策略和动量交易策略。市场价格长期和 短期回归的趋势为前者提供了套利的机会，持有前期表现差的股票而卖出表现好的 股票以获取收益的投资方式，是对市场过度反应的纠正。而动量交易策略源于对市 场中期收益延续性的研究，表明中期股价具有向某一方向连续运动的动量效应。两 者可能在不同的时间段分别可以获得正的收益。 本文从实证的角度对国内证券市场反向投资与动量交易的获利性进行的研究， 并且分成两个时间段进行比较，以检验获利性的变动情况和市场是否逐步向有效市 场方向发展。然后对收益的组成和来源进行分析，从而指导今后的投资行为。 关键词：行为金融、投资期限、反向投资策略、动量交易策略、反应过度 浙江大学硕士学位论文 浙江大学硕士学位论文 国内股市投资期限与反向投资、动量交易策略的实证研究 Abstract Many stock market anomalies have emerged vastly in the stock market，and shaken the basis of classical efficient market theory radically．but modem financial theory cannot irrationally interpret them．To these anomalies，the new theory—behavioral finance， combined human psychology and behavior into the framework。can give US some more convincing explanations than before from a totally difierent perspective．Especially in China．our stock market iS not emcient yet．SO it also sheds light upon the investing strategies for the inStitufional＆individual investors of China．Among the behavioral finance strategies，contrarian investment strategy(CIS)and momentum trading strategy (MTS)are most usually and profitability． Trend of the market price 10ng—term or short-term reversal give the C1S investors arbitrage profltabili押．And the market’S overreaction iS adjusted by the way tllat buying past losers and selling past winners．Momentum trading strategY is started from the return continuation research of intermediate horizon．It illustrate that stock price of intermediate horizon have momentum effect that maybe continuable move to a same direction．They both can get a posRive profit in different periods． In this paper,we investigate the profitability of CISMTS of China financial market based on real-world investor behavior case study．And the simple period is