中國股市動量策略和反向策略投資績效的研究.pdf

1、華中科技大學(xué)碩士學(xué)位論文中國股市動量策略和反向策略投資績效的研究姓名：吳偉申請學(xué)位級別：碩士專業(yè)：企業(yè)管理指導(dǎo)教師：王宗軍20060428華中科技大學(xué)碩士學(xué)位論文IIAbstractBehavialFinanceTheyisnewresearchhotnessinthefieldoffinancewhichinvestigatestherelationshipbetweenirrationalbehavistheperfmanceofs

2、tockmarket.TheresearchconclusionsmostlycomefrommaturemarketssuchasAmerica.ButirrationalbehavisshouldhavemuchgreaterinfluenceontheperfmanceinemergingmarketssuchasChina.InadditionwiththematurityofSecuritiesLawthetraditionm

3、easurestogetexcessprofitshavebecomeineffectiveinChinastockmarket.Thepotentinvestmentstrategiesbecomemuchmeimptanttoinvests.Goingonthesepremisesresearchesonthevalidityofmomentumstrategiescontrarianstrategiesperfmanceofthe

4、sestrategiesinChinastockmarketareveryurgent.Thispaperfirstintroducesthediscussionamongefficiencyofthemarketsomefinancialanomaliesespeciallybasedonunderreactionoverreaction.Thenwesummarizethestudiesonit.Secondweexaminewhe

5、therthemomentumstrategiescontrarianstrategiescancreatesignificantprofitsunderdifferentfmulationhizonsholdinghizonsbyusingthemonthexchangedata，since1996.1to2004.6.Thenwemakeaqualitydiscussofthereasonsfthesignificantprofit

6、sofstrategies.Intheend，withimprovedtheevaluationofinvestmentstrategiesmodeltheevaluationofperfmancemodelwestudywhethertheinvestmentstrategiesof15openendedfundsinChinaaremomentumstrategiescontrarianstrategiessince2003.1to

7、2005.6whichstrategiescancreatebetterinvestmentperfmance.Themainconclusionsareasfollows：FirstwefindthecontrarianstrategiesaremesuccessfulinChinaasawholetheacterofChinastockmarketplayaveryimptantrole.Secondwefindthatopenen