中国股市动量效应的表现特征
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摘要
作为有效市场理论的重要异像，动量效应是对基于风险的传统资产定价理论的最严重挑战之一。这种在过去几十年间一直存在的中期动量收益持续性已经成为近期研究的热点问题。
有经验的股票投资者可以体会到，中国股票市场中投资行为表现出明显的“追涨杀跌”和“寻庄跟庄”等技术分析的趋势特征，市场波动也表现出明显的“齐涨齐跌”、“板块轮动”和“强者恒强、弱者恒弱”等动量特征。很显然，实践者的直观感觉与多数研究者的经验结论相矛盾。这种矛盾促使我们对已有研究中所存在的问题进行了深入分析。通过对发表在最近五年的二十多篇相关文献的仔细研究，我们发现存在较多问题。其中主要问题是，几乎所有的经验分析都机械地照搬Jegadeesh和Titman(1993)的方法，没有考虑中国股票市场的波动特征。譬如，在对待形成期和持有期长度选择问题上采用直接拷贝的方法。众所周知，美国股票市场表现为“牛长熊短”，而中国股票市场则表现为“牛短熊长”，两个市场有非常大的不同。本篇文章考虑到中国股市的波动特征，按照上市公司的几种特征(比如股价水平、公司规模等)对其股票进行分类，再进行动量效应的检验。检验中国股市中，上市公司股价的动量效应是否具有特征性。在检验方法上，考虑到中国市场的特点，本文采用了检验期为一到六个月、持有期为一到六个月的交叉搭配策略等较短期的动量策略来检测。
这篇文章的研究结果显示，在中国股市中，对大规模公司的股票在采用动量投资策略时，会出现反转效应，会有一定的超额收益，但并没有表现出动量效应；但是对小规模公司在采用动量投资策略时，不但会出现反转效应，还有动量效应存在，这两种效应不是十分明显；在对市净率不同的公司考察时发现，成长型公司股价在(2，1)策略中出现了一定的动量效应，但是不十分明显。在检验各个观察期时，持有期最长时，会出现反转效应；而价值型公司的股价，在采用动量策略时，会出现高达18％的年超额回报率，有明显的动量效应和反转效应；通过检验发现，高价股公司的股价也有明显的动
As the most important anomaly to the Efficient Market Hypothesis, momentum effect is one of the most serious challenges to the traditional risk-based asset pricing paradigm. The persistence of intermediate-term momentum returns throughout the last several decades becomes hot topic recently and attracts widespread attention through out the academic community and the investment community.
In the Chinese stock market, the experienced stock investor may realize investing behavior shows the characters of " pursues rises kills falls " and " seeks the village with the village ".The momentum characteristic of the market fluctuation also displays " together rises together falls", "the tectonic plate wheel moves " and "strong permanent is strong permanently, the weakness is weak " the momentum.Obviously , the investor's direct-viewing feeling and the most researchers' experience conclusion is contradictory. This kind of contradiction urges us to analyze further the questions which have existed in the previous tests. Through more than 20 related literature published in recently five years carefully studying, we discovered more problems existing. Main question is, nearly all experience analysis all mechanically imitates Jegadeesh and Titman's (1993) method, has not considered undulation characteristic of the Chinese stock market. For example, it uses the direct copy method to choose the time length of forming and holding. It is well known, the American stock market performance is " the bull is long bear is short", but the Chinese stock market performance is " the bull is short bear is long ", two markets have the extremely great difference. This article considers the undulation characteristic of Chinese stock market, according to the market company's several kind of characteristics (for instance stock price level, company scale and so on) carries on the classification to stocks, and carries on the momentum effect examination, that is to say, examines whether
有经验的股票投资者可以体会到，中国股票市场中投资行为表现出明显的“追涨杀跌”和“寻庄跟庄”等技术分析的趋势特征，市场波动也表现出明显的“齐涨齐跌”、“板块轮动”和“强者恒强、弱者恒弱”等动量特征。很显然，实践者的直观感觉与多数研究者的经验结论相矛盾。这种矛盾促使我们对已有研究中所存在的问题进行了深入分析。通过对发表在最近五年的二十多篇相关文献的仔细研究，我们发现存在较多问题。其中主要问题是，几乎所有的经验分析都机械地照搬Jegadeesh和Titman(1993)的方法，没有考虑中国股票市场的波动特征。譬如，在对待形成期和持有期长度选择问题上采用直接拷贝的方法。众所周知，美国股票市场表现为“牛长熊短”，而中国股票市场则表现为“牛短熊长”，两个市场有非常大的不同。本篇文章考虑到中国股市的波动特征，按照上市公司的几种特征(比如股价水平、公司规模等)对其股票进行分类，再进行动量效应的检验。检验中国股市中，上市公司股价的动量效应是否具有特征性。在检验方法上，考虑到中国市场的特点，本文采用了检验期为一到六个月、持有期为一到六个月的交叉搭配策略等较短期的动量策略来检测。
这篇文章的研究结果显示，在中国股市中，对大规模公司的股票在采用动量投资策略时，会出现反转效应，会有一定的超额收益，但并没有表现出动量效应；但是对小规模公司在采用动量投资策略时，不但会出现反转效应，还有动量效应存在，这两种效应不是十分明显；在对市净率不同的公司考察时发现，成长型公司股价在(2，1)策略中出现了一定的动量效应，但是不十分明显。在检验各个观察期时，持有期最长时，会出现反转效应；而价值型公司的股价，在采用动量策略时，会出现高达18％的年超额回报率，有明显的动量效应和反转效应；通过检验发现，高价股公司的股价也有明显的动
As the most important anomaly to the Efficient Market Hypothesis, momentum effect is one of the most serious challenges to the traditional risk-based asset pricing paradigm. The persistence of intermediate-term momentum returns throughout the last several decades becomes hot topic recently and attracts widespread attention through out the academic community and the investment community.
In the Chinese stock market, the experienced stock investor may realize investing behavior shows the characters of " pursues rises kills falls " and " seeks the village with the village ".The momentum characteristic of the market fluctuation also displays " together rises together falls", "the tectonic plate wheel moves " and "strong permanent is strong permanently, the weakness is weak " the momentum.Obviously , the investor's direct-viewing feeling and the most researchers' experience conclusion is contradictory. This kind of contradiction urges us to analyze further the questions which have existed in the previous tests. Through more than 20 related literature published in recently five years carefully studying, we discovered more problems existing. Main question is, nearly all experience analysis all mechanically imitates Jegadeesh and Titman's (1993) method, has not considered undulation characteristic of the Chinese stock market. For example, it uses the direct copy method to choose the time length of forming and holding. It is well known, the American stock market performance is " the bull is long bear is short", but the Chinese stock market performance is " the bull is short bear is long ", two markets have the extremely great difference. This article considers the undulation characteristic of Chinese stock market, according to the market company's several kind of characteristics (for instance stock price level, company scale and so on) carries on the classification to stocks, and carries on the momentum effect examination, that is to say, examines whether
引文
1、王永宏、赵学军，2001，《中国股市惯性策略和反转策略的实证分析》，《经济研究》 2001年第6期。
2、周琳杰，2002，《中国股票市场动量策略赢利性研究》，《世界经济》 2002年第8期。
3、吴世农、吴超鹏，2003，《我国股票市场“价格惯性策略”和“赢余惯性策略”的实证研究》，《经济科学》 2003年第4期。
4、朱战宇、吴冲锋、王承炜，2003，不同检验周期下中国股市价格动量的盈利性研究，《世界经济》，2003年8期。
5、攀登、施东晖、曹敏，2003，中国个人投资者采用股价趋势交易策略的经验研究，《世界经济》，2003年11期。
6、程兵、施东晖、肖宇谷，2004，动量和反转投资策略在我国股市中的实证分析，《财经问题研究》，2004年8期。
7、罗洪浪、王浣尘，2004，中国股市动量策略和反向策略的赢利性，《系统工程理论方法应用》，2004年6期。
8、林松立、唐旭，2005，中国股市动量策略和反向策略投资绩效之实证分析，《财经科学》 2005年1期。
9、Jegadeesh, N., S. Titman., 1993, Returns to buying winners and selling losers: implication for stock market efficiency, Journal of Finance 48: 65-91.
10、De Bondt, W., R. Thaler, 1985, Does the stock market overreact? Journal of Finance 40: 793-805.
11、Lee, C. and Swaminathan, B., 2000, Price momentum and trading volume, Journal of Finance 55, 1217-1269.
12、Jegadeesh, N., S. Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56: 699-720.
13、Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior", American Economic Review 85, pp. 1088- 1105.
14 Liew, J. and Vassalou, M. , 2000 , Can book to Market, Size and Momentum be Risk Factors that Predict Economic Growth?, Journal of Financial Economics 57, pp. 221-245.
15 Carhart, MarkM , 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, pp. 57- 82.
16 Rouwenho rst, K. Geert , 1998 , International Momentum Strategies, Journal of Finance 53, pp. 267- 284.
17 Daniel, K. and Titman, S., 1999. Market efficiency in an irrational world, Financial Analyst Journal 55, 28-40.
18 Lesmond, D.A., Schill, M.J., and Zhou, C, 2004. The illusory nature of momentum profits, Journal of Financial Economics, 71(1), 349-380.
2、周琳杰，2002，《中国股票市场动量策略赢利性研究》，《世界经济》 2002年第8期。
3、吴世农、吴超鹏，2003，《我国股票市场“价格惯性策略”和“赢余惯性策略”的实证研究》，《经济科学》 2003年第4期。
4、朱战宇、吴冲锋、王承炜，2003，不同检验周期下中国股市价格动量的盈利性研究，《世界经济》，2003年8期。
5、攀登、施东晖、曹敏，2003，中国个人投资者采用股价趋势交易策略的经验研究，《世界经济》，2003年11期。
6、程兵、施东晖、肖宇谷，2004，动量和反转投资策略在我国股市中的实证分析，《财经问题研究》，2004年8期。
7、罗洪浪、王浣尘，2004，中国股市动量策略和反向策略的赢利性，《系统工程理论方法应用》，2004年6期。
8、林松立、唐旭，2005，中国股市动量策略和反向策略投资绩效之实证分析，《财经科学》 2005年1期。
9、Jegadeesh, N., S. Titman., 1993, Returns to buying winners and selling losers: implication for stock market efficiency, Journal of Finance 48: 65-91.
10、De Bondt, W., R. Thaler, 1985, Does the stock market overreact? Journal of Finance 40: 793-805.
11、Lee, C. and Swaminathan, B., 2000, Price momentum and trading volume, Journal of Finance 55, 1217-1269.
12、Jegadeesh, N., S. Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56: 699-720.
13、Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1995, "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior", American Economic Review 85, pp. 1088- 1105.
14 Liew, J. and Vassalou, M. , 2000 , Can book to Market, Size and Momentum be Risk Factors that Predict Economic Growth?, Journal of Financial Economics 57, pp. 221-245.
15 Carhart, MarkM , 1997, On Persistence in Mutual Fund Performance, Journal of Finance 52, pp. 57- 82.
16 Rouwenho rst, K. Geert , 1998 , International Momentum Strategies, Journal of Finance 53, pp. 267- 284.
17 Daniel, K. and Titman, S., 1999. Market efficiency in an irrational world, Financial Analyst Journal 55, 28-40.
18 Lesmond, D.A., Schill, M.J., and Zhou, C, 2004. The illusory nature of momentum profits, Journal of Financial Economics, 71(1), 349-380.