中國A股市場的行業(yè)動量策略研究.pdf

1、目錄■要Abstract弓I言第一章研宄背景和理論回顧1.1研宄背景1.2動量效應(yīng)理論的發(fā)展1.2.1動量策略的類型1.2.2動量效應(yīng)在各市場的表現(xiàn)1.2.3對于動量效應(yīng)的解釋第二章文獻(xiàn)綜述2.1國外研究現(xiàn)狀2.2國內(nèi)研究現(xiàn)狀22第三章行業(yè)動量策略的實證研究253.1數(shù)據(jù)統(tǒng)計和行業(yè)收益253.2行業(yè)動量效應(yīng)的存在性檢驗273.2.1行業(yè)動量策略簡述273.2.2劃分排序期和持有期283.2.3累積收益率和超額收益率的計算293.2.4行

2、業(yè)動量組合方法293.3行業(yè)動量效應(yīng)的驗證和比較分析303.3.1采用原始數(shù)據(jù)進(jìn)行的行業(yè)動量分析303.3.2采用原始數(shù)據(jù)進(jìn)行的個股動量效應(yīng)分析323.3.3行業(yè)因素在行業(yè)動量策略中的主導(dǎo)型分析353.3.4主導(dǎo)行業(yè)分析383.4行業(yè)動量超額利潤回歸分析393.4.1理論基礎(chǔ)393.4.2回歸結(jié)果41mra#結(jié)論454.14^454.2下一步的研宄方向48考文獻(xiàn)49致謝53AbstractEfficientMarketHypothesi

3、sisthefundamentaltheyintheinterpretationoffinancialmarketefficiencyyetthediscoveryofMomentuminthe1990sfmedadirectchallengeagainstthethey.Drawingfocusonmomentumwouldhelpusftirtherundersthowthefinancialmarketwksproviderefe

4、rencesftheinvestsalongwiththeregulatswhenmakinginvestmentdecisionspolicies.Industrymomentumstrategyisoneparticularkindofmomentumstrategies.Basedonmonthlytransactiondatafrom2000.1to2010.12thispaperimplementedapreliminaryr

5、esearchontheexistenceofindustrymomentumthedifferencebetweenindustrymomentumstrategyregularmomentumstrategythedominanceofindustryfactintheexcessindustryreturnstheinterpretationofexcessindustryreturns.Wefindthat:1.Thereisa

6、significantmomentumeffectintheChineseAsharemarketatmidlongtermwithintheperiodof2000.12010.]2.2.Industrymomentumtheregularmomentumarecomplementaryintermsofperiodswhenthemomentumeffectissignificant.3.Industryfactisindeedth

7、edominantsourceofindustryexcessreturnthereisnoindustryconcentrationwhenimplementingthestrategy.4.IndustryexcessreturncanbepartlyexplainedbytheFama&French3factmodeltheresultisincloserelationwiththelengthofholdingperiod.Ke