噪声交易、动量效应与动量策略

管理评论 ›› 2021, Vol. 33 ›› Issue (2): 44-54.

噪声交易、动量效应与动量策略

姚远¹, 钟琪¹, 翟佳²

1. 河南大学管理科学与工程研究所, 开封 475004;
2. 西交利物浦大学国际商学院, 苏州 215123

收稿日期:2020-03-21 出版日期:2021-02-28 发布日期:2021-03-08
作者简介:姚远,河南大学管理科学与工程研究所教授,博士生导师,博士;钟琪,河南大学管理科学与工程研究所硕士研究生;翟佳,西交利物浦大学国际商学院副教授,博士。
基金资助:
国家社会科学基金项目（17BJY194）；河南省高等学校哲学社会科学基础研究重大项目；河南大学哲学社会科学重大项目培育计划。

Noise Trading, Momentum Effect and Momentum Strategy

Yao Yuan¹, Zhong Qi¹, Zhai Jia²

1. Institute of Management Science and Engineering, Henan University, Kaifeng 475004;
2. International Business of Suzhou, Xi'an Jiaotong Liverpool University, Suzhou 215123

Received:2020-03-21 Online:2021-02-28 Published:2021-03-08

摘要/Abstract

摘要： 动量效应长期存在于全球股票、债券、货币和商品市场中。同时，动量策略作为一种重要的趋势策略已广泛运用于CTA、ETF等金融产品中。然而，传统金融理论体系无法解释动量效应这一金融异象。本文在噪声交易理论基础上，引入动量交易者，构造扩展的噪声交易理论模型来重新解释中国股市动量效应。随后，基于噪声交易对动量效应的表现，在传统Jegadeesh和Titman的动量策略构造方法中加入噪声交易这一因素，利用上证180指数成分股数据构建了一种新的基于噪声交易的动量策略，策略结果显示：对于噪声交易水平较高的股票，投资者应选择动量策略；对于噪声交易水平较低的股票，投资者应选择反转策略。

关键词: 噪声交易, NTR, 动量效应, 动量策略

Abstract: The momentum effect has long existed in global stock, bond, currency and commodity markets. At the same time, momentum strategy, as an important trend strategy, has been widely used in financial products such as CTA, ETF and other financial products. However, the traditional financial theory system cannot explain the financial vision of momentum effect. Based on the noise trading theory, this paper introduces momentum traders and constructs an extended noise trading theory model to re-explain the momentum effect of the Chinese stock market. Then, based on the performance of noise trading on momentum effect, a noise trading factor is added to the traditional Jegadeesh and Titman's momentum strategy construction method, and a new noise trading based momentum strategy is constructed using the SSE 180 index component data. The results show that: for stocks with a high level of noise trading, investors should choose a momentum strategy; for stocks with a low level of noise trading, investors should choose a reversal strategy.

Key words: noise trading, NTR, momentum effect, momentum strategy

姚远, 钟琪, 翟佳. 噪声交易、动量效应与动量策略[J]. 管理评论, 2021, 33(2): 44-54.

Yao Yuan, Zhong Qi, Zhai Jia. Noise Trading, Momentum Effect and Momentum Strategy[J]. Management Review, 2021, 33(2): 44-54.

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