沈阳工业大学学报（社会科学版）2016，Vol.9Issue(4)：338-344,7.DOI:10.7688/j.issn.1674-0823.2016.04.09
中国证券市场反向及动量投资策略的实证研究
Empirical research on contrarian and momentum investing strategies in Chinese security market
摘要
Abstract
From the perspective of behavioral finance, taking the data of all Share A stocks listed on Shanghai security market and Shenzhen security market from January 2003 to December 2014 as the sample, a total of 25 investment options is constituted based on the formation period and test period being respectively set as 3 months, 6 months, 12 months, 36 months, and 60 months.In a wider range research, the applicability of contrarian investing strategy and momentum investing strategy in Chinese security markets is observed with empirical research method.The results show that the evident contrarian and momentum phenomena exist in Chinese stock market, and a significant long-term momentum phenomenon is mainly showed by winner portfolio, while the loser portfolio shows a significant contrarian phenomenon.It is pointed out that Chinese security market is not an efficient market, and using the contrarian and momentum investing strategy in Chinese security market can be profitable.关键词
行为金融/证券市场/金融市场/反向投资策略/动量投资策略Key words
behavioral finance/security market/financial market/contrarian investing strategy/momentum investing strategy分类
管理科学引用本文复制引用
高银珠,任达,薛辰琳..中国证券市场反向及动量投资策略的实证研究[J].沈阳工业大学学报（社会科学版）,2016,9(4):338-344,7.基金项目
国家自然科学基金资助项目（71320107003）。 （）
