个股非流动性换手率和短期反转的关系.docVIP

个股非流动性换手率和短期反转的关系 摘要近年来，股市中股票收益短期反转的普遍存在性引起了学者的重视。有研究表明，股票的非流动性和换手率对短期反转有重要的影响。国内学者对于短期反转效应的研究比较滞后，而且存在诸多不足。本在排除买卖报价反弹、周末效应等干扰因素的前提下，利用分组构建逆势投资组合及Fama-Macbeth回归的方法研究周周期下我国股市中的短期收益反转现象。实证结果表明，我国股市中存在短期收益反转现象，短期反转在股票输家中表现的更加显著。股票收益的短期反转随着非流动性的增强而增强，而并没有随换手率的变化表现出规律性变动，只有具有极高换手率的投资组合表现出特殊性：极高的换手率对股票输家的短期反转具有抑制作用，而对股票赢家的短期反转具有促进作用，但是由于短期反转主要体现在股票输家中，所以前者的作用要强于后者。 关键词短期反转非流动性换手率11016 外 文 摘 要 TitleThe Relationship of Illiquidity, Turnover and Short-runReversals in Inpidual Stock Returns Abstract In recent years, the prevalence of short-run reversals of the returns in the stock market has attracted the attention of many scholars. Studies have shown that illiquidity and turnover of stocks have important implications to the short-run reversals. Domestic studies for short-run reversal effect have lagged behind, and there are many shortcomings in these studies. This paper studies the short-run reversals in China#39;s stock market applying contrarian strategy and Fama-Macbeth type regression under the premise of controlling for the interference of bid-ask bounce and weekend effect in weekly cycle. The empirical results indicate that short-run reversals exist in China#39;s stock market, and Loser stocks exhibit more reversals than winner stocks. The short-run reversals increase with the illiquidity. The turnover could hardly show prediction to short-run reversals, but portfolios with extreme high turnover have obvious characteristics. Extreme high turnover will suppress the loser stocksrsquo;short-run reversals, but has opposite effect to the winner stocks. However, the impact to the former is stronger than the latter in the fact that the short-run reversals are mainly observed in loser stocks. 4.2收益率、换手率与非流动性指标的相关性研究结果10 4.3换手率和非流动性指标对股票收益短期反转的影响10 4.4各换手率与非流动性组合的收益序列相关性研究结果13 5稳健性检验14 5.1非同步交易对研究结果的影响14 5.2改变组合投资期限对研究结果的影响15 结论17 致谢18 参 考 文 献19 1引言 1.1研究背景 在有效市场中，对资产价格的短期预期应当遵循鞅过程，即根据目前所获得的信息，对资产价格的最优预期就是资产的当前价格。这是因为短期内随机的未知信息对于股票基本价值的预期影响是可以忽略不计的。但是，Lehmann(1990)的研究