论文部分内容阅读
本文首先介绍了重叠抽样的价格动量检验方法。在 1 995— 2 0 0 1年经历了牛市和熊市的中国股市能比较充分地反映股市波动周期的信息。本文选取这段时间的股票样本 ,考察周、月周期下价格动量策略的赢利性特征。结果发现 ,月度周期检验中并不存在显著动量利润 ,动量利润只存在于形成期和持有期在 4周以内的周度周期策略中。随持有期加长 ,动量利润递减 ,但赢者组合对动量利润的贡献逐渐增大。本文检验结果具有鲁棒性。
This paper first introduces the overlay sampling price momentum test method. The Chinese stock market, which experienced the bull market and the bear market from 1995 to 2001, can more adequately reflect the period of the stock market volatility. This article selects stock samples during this period to examine the profitability characteristics of the price momentum strategy under the weekly and monthly cycles. The results show that there is no significant momentum profit in the monthly cycle test, and the momentum profit exists only in the cycle strategy of formation and holding within 4 weeks. With the lengthening of the holding period, the momentum profit declines, but the contribution of the winner group to the momentum profit gradually increases. The test results are robust.