QFII交易策略对股票收益影响的实证分析.pdf

Finance 金融, 2015, 5(4), 73-79 Published Online October 2015 in Hans. /journal/fin /10.12677/fin.2015.54010 Empirical Analysis of Impacts of QFII Trading Strategies on Stock Returns Huixiang Liu, Hui Jin School of Economics, Hangzhou Dianzi University, Hangzhou Zhejiang th th th Received: Jun. 30 , 2015; accepted: Oct. 8 , 2015; published: Oct. 15 , 2015 Copyright © 2015 by authors and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract From the viewpoint of behavioral finance, this paper investigates the impact on stock returns of trading strategies for 70 QFII from the third quarter of 2010 to the third quarter of 2014. Firstly, the existence of momentum or contrarian phenomenon is tested by constructing a MT measure; then, the sample stocks are classified by the value of MT, and the stock returns are examined by using the model of Jegadeesh and Titman (1993) to analyze the impact of momentum or contra- rian strategy of QFII on stock return. Empirical results show that QFII tend to mostly use momen- tum strategy and also momentum return grows with the growth of MT value, implying that mo- mentum strategy of QFII affects stocks’ momentum return. Keywords QFII, Momentum or Contrarian Strategy, MT Measure, Stock Return QFII交易策略对股票收益影响的实证分析 刘慧香，金 辉 杭州电子科技大学经济学院，浙江 杭州 收稿日期：2015年6月30 日；录用日期：2015年10月8 日；发布日期：2015年10月15 日 摘 要 从行为金融学的角度出发，考察2010年三季度至2014年三季度70家QFII的交易策略对股票收益的影响。 文章引用: 刘慧香, 金辉. QFII 交易策略对股票收益影响的实证分析[J]. 金融, 2015, 5(4): 73-79. /10.12677/fin.2015.54010 刘慧香，金辉 首先，通过MT指标的构建，检验惯性或反转现象的存在性；然后，按照MT值将不同的股票进行分类， 采用Jegadeesh和Titman (1993) 的模型研究惯