基于交易量的中国股市短期动量与反转策略研究

南京航空航天大学硕士学位论文基于交易量的中国股市短期动量与反转策略研究姓名：张钢申请学位级别：硕士专业：技术经济及管理指导教师：陆珩瑱20080301i2211BSVDHSHS(MLC)DHS(MLC)iiAbstractSince1980s,themassiveempiricalresearcheshaveshowedthattherearesomereturnpatternsinthematureoremergingstockmarketoftheworld.Thesephenomenaarecalledanomalies,whichshakethebasisofclassicalefficientmarkettheoryradicallyandcannotberationallyexplainedbystandardfinancialtheories.Behavioralfinancialtheoriescatchthisopportunityandgivetheanomaliesreasonableexplanations,whichcausethenewtheorypupularinacademicworld.Astypicalanomalies,momentumeffectandcontrarianeffectareattractingmoreandmoreinvestors’attention.Inthemeantime,asthedirectoutcomeofinvestment,tradingvolumeplaysimportantroleintheprocessofdecidingthereturnpatternofstocks.InthispaperIcombinethesetwoaspectstogether.Ontheonehand,Idodeeperresearchonshort-termpricemomentumandcontrarianstrategyinChinesestockmarket.Ontheotherhand,Ilookfortherelationsbetweentradingvolumeandshort-temreturnpattern,thenmakeadiscussionabouttherolewhichthetradingvolumeplaysinpredictingthereturnpattern.Inthispaper,Ifirstintroducetheanomalieswhichcann’tbeexplainedbystandardfinancialtheories.AndthenIputemphasisontheeconomicexplanationtothecapabilityofpricemomentumandcontrarianstrategytogetexcessreturn.Theeconomicexplanationisspreadintraditionalframeworkandbehavioralframework.Itestthevalidityofshor-termpricemomentumandcontrarianstrategy.Ialsoinvestigatetheprofitabilityofvolume-basedshort-termmomentumstrategyandcontrariansrategybywayofempiricalanalysis.ThenIgivetheunderlyingreasoninbehavioralframework.Belowaremymainfindings.Firstly,thehighestprofitofpureandvolume-basedshort-termmomentumportfolioappearin22strategy,andthehighestprofitofthepureandvolume-basedshort-termcontrarianportfolioappearsin11strategy.Secondly,stockswithhightradingvolumeexhibithighermomentumreturnthanstockswithlowtradingvolume.Thirdly,volume-basedshort-termmomentumstrategyexhibithighermomentumreturnthanpureshort-termmomentumstrategy,andvolume-basedshort-termcontrarianstrategyexhibitlowercontrarianreturnthanpureshort-termcontrarianstrategy.Finanlly,IfindthatDHSmodelandMLChypothesiscanefficientlyexplainthepatternabove.Keywords:Marketanomalies,MomentumStrategy,ContrarianStrategy,TradingVolume,MomentumLifeCycle.()11.130()()()()()()2()1.212331.31.11.11.142.1(EfficientMarketHypothesisEMH)1970(Fama)[1]EMHEMHFama3[1]Fama,E.F,EfficientCapitalMarkets:AReviewofTheoryandEmpiricalWork[J].JournalofFinance,1970,25:383-417.52.22080(anomalies)2.2.1Zweig(1973)[1]10%-20%Malkiel(1977)[2]Herzfeld[3](1980)10%110(Weiss[4]1989)2Weiss(1989)1201034DeLongShleifer(1990)[5][1]Zweig,MartinE,Aninvestorexpectationsstockpredictivemodelusingclosed-endfundpremiums,JournalofFinance,1973,28:67-78.[2]MalkielB.G,Thevaluationofclose-endinvestmentcompanyshares.JournalofFinance,1977,32:847-859.[3]Herzfeld,T.J.(1980).TheInvestor’sGuidetoClose-endFunds.NewYork:McGraw-Hill.[4]Weiss,Kathleen.Thepost-offeringpriceperformanceofclose-endfunds[J].FinancialManage-ment,1989,(Autumn):57-67.[5]DeLongJB,ShleiferA,SummersLH,etal.Positivefeedbackinvestmentstrategiesanddestabilizingrationalspeculation[J].JournalofFinance,1990b,45:379.6LeeShleiferThaler(1991)[1](InvestorSentimentTheory)(1995)[2](2000)[3](2001)[4](2002)(2003)2.2.2Gultekin(1983)[5]1719591979131190(1994)(1995)(1999)ARCH19931998(2000)1992619986(2002)(2003)[1]Lee,C.M.,Shleifer,A.,andThaler,R.H.,Investorsentimentandtheclosed-endfundpuzzle[J],JournalofFinance,1991,46:75-110.[2]().[J]..1995.(2):66-69,.[3],.[J]..2000.10:18-22.[4].[J]..2001.11:50-57.[5]Gultekin,M.N.andN.B.Gultekin.StockMarketSeasonality:InternationalEvidence[J].JournalofFinancialEconomics12,1983,(12):469-481.7(2004)LeveneGARCH2.2.3(SizeEffect)Banz(1981)[1]FamaFrench(1992)[2]1963199010%10%0.74%Sigel(1998)1926198610%9.84%10%13.83%8.47%Schwert(2002)1981Banz19821926-1982(1996)[3](1999)199615199850(2000)(2001)[4]1995-1997286[1]Banz,RolfW,Therelationshipbetweenreturnandmarketvalueofcommonstock[J],JournalofFinancialEconomics.1981,9,3-18.[2]Fama,EugeneFandKennethR.French,1992,Thecross-sectionofexpectedstockreturns[J],JournalofFinance.47,427-466.[3].[J]..1996.04:13-19.[4],.[J]..2001.10:55-60.8(20O1)[1]967996A(2004)A2.2.4ModiglianiMillerM-M(2004)[2]10(2004)2.2.5DeBondtThaler(1985)[3](WinnerPortfolio)(LoserPortfolio)1933l98560[1],.:[J]..2001.6:22-35.[2].[J]..2004.7:108-119.[3]DeBondt,ThalerR.Doesthestocksmarketoveract?[J].JournalofFinance.1985.40(3):793-808.9JegadeeshTitaman(1993)[1]1965-1989CRSP(CenterforResesrchingSecuritiesPrices)14()14()12%2.2.6MehraPrescott(1985)[2]192619997.1%7%2.2.7(B/M)(P/E)B/M[1]JegadeeshN,TitmanS.Returnstobuyingwinnersandsellinglosers:implicationsforstockmarketefficiency[J].JournalofFinance.1993.48(1):65-91.[2]Mehra,R,E.C.Prescott.TheEquityPremium:APuzzle[J].JournalofMonetaryEconomics,1985.vol.15,no.2(March):145-161.10RosenbergReidLanstein(1985)[1]FamaFrench(1992)E/PB/M10%B/M10%1.53%Basu(1983)[2](P/E)(P/E)P/EBasuP/E5P/EP/EP/EP/E2.3DeBondtThaler(1985)3625%FamaFrench(1986)[3]NYSEAMEXNASDAQ19621982[1]Rosenberg,B,K.Reid,andR.Lanstein.Persu