摘要
采用重叠法对中国A股股票超额收益率进行日度检验,结果表明:当形成期和持有期为1～5个交易日时,中国股市存在统计显著的日度反向利润.同时,进一步将日度反向利润与日周效应这两种异常行为相结合,研究周内各交易日股价变动对日度反向利润的影响差异,结果表明:当持有期为周一时,反向策略收益表现为动量效应,对日度反向利润影响为负;周二、三、五时表现为反向效应,对日度反向利润影响为正.
Using daily interval data and overlapping method, this paper finds that there is significant daily contrariant profit in Chinese stock market when the formation and holding periods are from one to five trading days. Then this paper integrates the daily contrariant profit and day-week effect. It shows that, the daily contrariant profit strongly presents day-week patterns: when holding period is on Monday, returns of contrariant strategies present a momentum effect, contribute negatively to daily contrariant profit; but on Tuesday, Wednesday, and Friday, they present a contrariant effect, contribute positively to the profit.
出处
《上海交通大学学报》
EI
CAS
CSCD
北大核心
2005年第3期442-447,452,共7页
Journal of Shanghai Jiaotong University
关键词
股票市场
反向利润
日周效应
中国
stock market
contrariant profit
day-week effect
China
