股票市场的惯性效应、择时策略与交易规则设计
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摘要
文章将我国股票市场2003—2017年分为上升、平缓和下降三个阶段,使用五种均线检验市场存在惯性效应,且择时交易策略的收益高于买入并持有策略。当市场处于上升阶段时,择时交易策略没有优势;当市场处于平缓与下降阶段时,择时交易策略能够降低风险、有效止损,但没有提高组合收益。进一步引入交易费用和择时波动区间,发现择时收益仍高于买入并持有收益;但交易费用降低了投资者收益;波动区间使投资者换手率降低、对收益影响较小。
This paper divides Chinese stock market from 2003 to 2017 into three stages: ascending, flattening and descending,and uses five averages to test the inertia effect of the market, showing that the timing strategy has a higher return than the buy and hold strategy(B&H). When the market is ascending, the timing strategy has no advantage; while when the market is flattening and falling, the timing strategy can reduce risks and effectively stop losses, but does not improve portfolio returns. In addition,when transaction cost and timing range are introduced, it is found that the timing yield is still higher than the B&H yield, but transaction fees reduce investors' returns; the fluctuation range reduces the turnover rate of investors and has little impact on earnings.
This paper divides Chinese stock market from 2003 to 2017 into three stages: ascending, flattening and descending,and uses five averages to test the inertia effect of the market, showing that the timing strategy has a higher return than the buy and hold strategy(B&H). When the market is ascending, the timing strategy has no advantage; while when the market is flattening and falling, the timing strategy can reduce risks and effectively stop losses, but does not improve portfolio returns. In addition,when transaction cost and timing range are introduced, it is found that the timing yield is still higher than the B&H yield, but transaction fees reduce investors' returns; the fluctuation range reduces the turnover rate of investors and has little impact on earnings.
引文
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[2]Faber M T.A Quantitative Approach to Tactical Asset Allocation[J].Social Science Electronic Publishing,Update on SSRN,2014,(3).
[3]Glabadanidis P.Market Timing With Moving Averages[J].International Review of Finance,2015,15(3).
[4]郭江涛.中国A股市场惯性投资策略的统计验证[J].统计与决策,2015,(24).
[5]鲁臻,邹恒甫.中国股市的惯性与反转效应研究[J].经济研究,2007,(9).
[6]史永东,宋西伟,谷佳音.企业投资、股票收益期限结构和动量投资策略--基于中国股票市场的经验证据[J].证券市场导报,2016,(8).
[7]韩豫峰,汪雄剑,周国富等.中国股票市场是否存在趋势?[J].金融研究,2014,(3).
[8]Brock W,Lakonishok J,Lebaron B.Simple Technical Trading Rules and the Stochastic Properties of Stock Returns[J].The Journal of Finance,1992,47(5).
[9]Zhu Y,Zhou G.Technical Analysis:An Asset Allocation Perspective on the Use of Moving Averages[J].Journal of Financial Economics,2009,92(3).
[10]Han Y,Yang K,Zhou G.A New Anomaly:The Cross-Sectional Profitability of Technical Analysis[J].Journal of Financial&Quantitative Analysis,2013,48(5).
[11]Balduzzi P,Lynch A W.Transaction Costs and Predictability:Some Utility Cost Calculations[J].Journal of Financial Economics,1999,52(1).
[12]Siegel J J.Stocks for the Long Run[J].McGraw-Hill Professional,2014,8(3).