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本文对中国股市的“反向效应”和“动量效应”进行了研究,实证结果显示:中国股市存在显著的短期性“反向效应”和中期性“动量效应”。依据本文的分析,造成中国股市存在这两种效应的基本原因在于:(1)股市存在对上市公司特质性信息的过度反应;(2)股票收益中存在“带头—滞后结构效应”;而这两个基本因素又是内生于中国股市的特质性。
This paper studies the “reverse effect ” and “momentum effect ” in the Chinese stock market. The empirical results show that there are significant short-term “reverse effect ” and medium “momentum effect . According to the analysis of this article, the basic reasons for the existence of these two effects in China’s stock market are: (1) the stock market has an overreaction to the trait information of listed companies; (2) there exists ”lead-lagged structure effect" in stock returns; And these two basic factors are also the inherent characteristics of the Chinese stock market.