上海交通大学学报(自然版)

• 管理科学 • 上一篇    下一篇

沪深A股市场惯性效应与反转效应的比较分析

朱曦1,陈俊芳1,许拯声2   

  1. (1.上海交通大学 安泰经济与管理学院, 上海 200052;2.东华大学 旭日管理学院, 上海 200051)
  • 收稿日期:2007-11-08 修回日期:1900-01-01 出版日期:2008-11-28 发布日期:2008-11-28
  • 通讯作者: 陈俊芳

The Momentum and Contrarian in Shanghai A Stock Market and Shenzhen A Stock Market

ZHU Xi1,CHEN Jun-fang1,XU Zheng-sheng2   

  1. (1.Antai College of Economics & Management, Shanghai Jiaotong University,Shanghai 200052,China;
    2.Xuri Business Administration, Donghua University,Shanghai 200051,China)
  • Received:2007-11-08 Revised:1900-01-01 Online:2008-11-28 Published:2008-11-28
  • Contact: CHEN Jun-fang

摘要: 采用Jegadeesh等的研究方法,对沪深A股市场惯性效应和反转效应进行了检验和比较.实证结果显示:市场趋势上,沪深两市的走势具有很强的连动性,均表现为短期的惯性收益、中期的反转收益和长期的惯性收益现象;市场表现上,沪深两市均表现了强者衡强、弱者衡弱和追涨杀跌的态势,但深市比沪市表现出了更强烈的惯性策略获利性.

关键词: 惯性效应, 反转效应, 反应过度, 反应不足

Abstract: This article studied the momentum and contrarian in Shanghai A stock market and Shenzhen A stock market using Jegadeesh and Titman method.The case study shows that it is of strong relation in stock’s price of Shanghai A stock market and Shenzhen A stock market.There shows the momentum in shorttime and longtime,while the contrarian in midtime.On the other hand,it has more strong momentum profit in Shenzhen A stock market than in Shanghai A stock.

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