摘要
本文在已有文献基础上系统研究A股个股回报率的惯性与反转现象。本文发现,A股个股回报率在多个时间频率上存在明显的反转,而惯性仅在超短期的日回报率和特定时段的周回报率上存在。本文还发现,交易量对于惯性和反转有显著影响,反转发生的时间有缩短的倾向,且价格变化的速度有随时间推移而加快的倾向。上述发现表明我国A股市场不满足"弱有效市场"假说,但是表现出一些不同于发达国家市场的规律,且规律随着时间而变化。
This paper studies price continuation and reversal in China＇s A-share stock market. The authors comprehensively consider daily, weekly, monthly, and annual stock returns and find evidence of significant price reversal at various frequencies, while momentum only exists in daily and weekly returns for specific time frequencies. It is also found that price continuation and reversal co-vary with trading volume and that the regularities change over time. These findings suggest that China＇s A-share market is not weakly efficient. Moreover, the market displays different characteristics from developed markets, and the characteristic varies over time.
出处
《金融研究》
CSSCI
北大核心
2011年第1期149-166,共18页
Journal of Financial Research
关键词
惯性
反转
有效市场假说
交易量
momentum, reversal, efficient market hypothesis, trading volume
