管理评论

›› 2012, Vol. 24 ›› Issue (1): 52-57.

• 经济与金融 • 上一篇    下一篇

动量效应与反转效应的演化：基于深圳A 股市场的实证

舒建平1,2 ,肖契志2, 王苏生1   

  1. 1.哈尔滨工业大学深圳研究生院,深圳518055; 2.湘潭大学商学院,湘潭411105
  • 收稿日期:2012-04-26 修回日期:2012-04-26 出版日期:2012-01-25 发布日期:2012-04-26
  • 作者简介:舒建平,哈尔滨工业大学深圳研究生院博士后,湘潭大学商学院副教授;肖契志,湘潭大学商学院硕士研究生;王苏生,哈尔滨工业大学深圳研究生院教授.

Transformation of Momentum Effect and Reversal Effect：An Empirical Research on Chinese Shenzhen A-Share Stock Market

  1. 1.Harbin Institute of Technology Shenzhen Graduate School, Shenzhen 518055；
    2.Business School of Xiangtan University, Xiangtan 411105
  • Received:2012-04-26 Revised:2012-04-26 Online:2012-01-25 Published:2012-04-26

摘要： 本文首次探讨了动量效应与反转效应的相互演化现象，认为，投资者对公共信息的从众行为、对私人信息反应强度更高是二者周期性相互演化的根源；其演化遵循“动量效应（反转效应）出现→增强→减弱→反转效应（动量效应）出现→增强→减弱→动量效应（反转效应）再出现”的规律；实证结果显示，深圳A股市场的动量效应与反转效应的确存在类似的周期性相互演化规律，尽管演化的周期长度并不固定。

关键词: font-size: 9pt, mso-ascii-font-family: 'Times New Roman', mso-hansi-font-family: 'Times New Roman', mso-font-kerning: 1.0pt, mso-ansi-language: EN-US, mso-fareast-language: ZH-CN, mso-bidi-language: AR-SA, mso-bidi-font-family: 'Times New Roman'">动量效应, 反转效应, 相互演化

Abstract: The paper takes the lead to study the mutual transformation of momentum effect and reversal effect, concluding that investors’ blindly conforming to public information and stronger reaction to private information are the source of periodically mutual transformation, which follows the process of “momentum (or reversal) effect emerging→strengthening→weakening→reversal (or momentum) effect emerging→strengthening→weakening→momentum(or reversal) effect reemerging”. Empirical researches show that the mutual transformation of momentum effect and reversal effect does exist in Shenzhen A-share stock market, although the length of the cycle is not constant.

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