中国A股市场动量效应实证研究.pdfVIP

第31 卷第7期 东 北 大 学 学 报 ( 自 然 科 学 版 ) Vol31, No. 7 2 0 10 年 7 月 Journal of Northeastern U ni ersity( Natural Science) Jul. 2 0 1 0 A 朱 俊, 庄新田 ( , 110004) : , 1998~ 2005 A : A , , , A : A ; ; ; ; : F 830. 9 1 : A : 20 10) Empirical Study on Momentum Effect on China s A Share Market ZH U Jun , ZH UA N G X intian ( School of Business Administrat ion, Northeastern Uni ersity, Shenyang 110004, China. Correspondent: ZHUANG Xintian, Email: xtzhuang @ mail. neu. edu. cn) Abstract: Based on the w hole data of China s A share market in the period 1998~ 2005 and the discussion on the earlier works about the momentum effect at home and abroad, a check was carried out empirically for the momentum effect. The results re ealed that the momentum effect on shortrun in estment is unob ious statistically in the A share market, w hile the ex cess returns on shart/ mediumrun in estment are a ailable for those in estors who make use of the strategy of momentum effect . Most of both the w inner and loser portfolios gain ex cess returns or suffer losses in the same direction, i. e. , the simultaneous rise or fall of arious stock prices characterizes China s stock market. It implies that the in estors react to the market information in a positi e feedback mode. For this reason, some suggestions are recommended for the de elopment of China s stock market and in estors operational strategies. Key words: A share market; momentum effect; momentum strategies; w inner portfolio; l