摘要
动量效应作为一种常见的投资理论,现有研究主要集中在对个股的研究,从行业层面研究动量效应的较为少见;同时大部分研究并没有从细分角度来分析不同情况下动量效应的异同,采用投资者情绪来进行区分的更为罕见,因此分析不同情绪时期下的行业动量效应具有重要的研究价值。实证研究发现:我国股市短期行业动量效应显著,但是长期来看并不明显;情绪乐观期存在着超短期的动量效应,而在长周期的排序期和持有期来看,甚至会出现明显的反转效应;情绪悲观期在超短期并不具有明显动量效应,但动量更强。因此,对于投资实践者而言,不仅应对排序期及持有期认真选择,而且应考虑到投资者情绪对动量效应的非对称影响。
The momentum effect is a common investment theory. The existing research mainly focuses on individual stock, and the research on industry momentum effect is relatively rare. At the same time, most studies do not analyze the similarities and differences of momentum effects under different conditions from the perspective of subdivision. The study to make distinctions by means of investor sentiment is even rarer. Therefore, it has great research value to analyze industry momentum effect in different sentimental periods. Empirical study has found that the short-term industry momentum ef- fect in China＇ s stock market is significant while the long-term industry momentum effect is not obvious ; there is a ultra- short-term momentum effect in the optimistic period, and in the long-term sequencing period and holding period, it may even have obvious reversal effect;and there is no significant momentum effect in the ultrashort term in the pessimistic pe- riod, but the momentum is stronger. Therefore,investors should make careful selection in sequencing period and holding period and take into account the dissymmetrical impact of investor sentiment on momentum effect.
作者
周亮
游航
ZHOU Liang;YOU Hang(Editorial Board of Journal,Hunan University of Finance and Economics,Changsha 410205,China;Business School,Renmin University of China,Beijing 100872,China)
出处
《天津商业大学学报》
2018年第6期40-47,共8页
Journal of Tianjin University of Commerce
基金
国家社会科学基金项目"我国资本空间流动对区域经济发展的影响机制研究"(14BJL086)
湖南省教育厅科学研究项目"金融服务功能视角下区域金融深化与经济发展的空间耦合关系研究"(14B031)
关键词
动量效应
投资者情绪
行业动量
momentum effect
investor sentiment
industry momentum
