摘要
本文在参考国外研究方法的基础上 ,选取深沪两市 1994～ 2 0 0 3年 6月的股票交易数据 ,考察中国股市动量策略和反向策略的赢利性特征。研究发现 ,我国股市在短期内不存在明显的反向策略 ,但是对于中长期而言 ,我国股市存在着明显的反转迹象 ,采取反向策略将取得较大的赢利。
Based on the overseas research methods, this article selects the Shanghai and Shenzhen Stock Exchanges data between January 1994 and June 2003, inspecting the Chinese stock characteristics of the investment performance of momentum strategies and contrarian strategies. Our conclusions are greatly different from foreign research results. For short term (within one month), neither contrarian strategy nor momentum strategy can get significant profits, but for middle-term (three to twelve months) and long-term (one to three years), taking contrarian strategy can win remarkable significant profits, and the profits reaches surprising 61. 35 %( 2-3years) and 47.26 %( 3-3years)
出处
《财经科学》
CSSCI
北大核心
2005年第1期81-87,共7页
Finance & Economics
关键词
动量策略
反向策略
行为金融
中国
股票市场
momentum strategies
contrarian strategies
market efficiency
behavioral finance
