沪深A股市场惯性效应与反转效应的比较分析

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摘要采用Jegadeesh等的研究方法，对沪深A股市场惯性效应和反转效应进行了检验和比较.实证结果显示：市场趋势上，沪深两市的走势具有很强的连动性，均表现为短期的惯性收益、中期的反转收益和长期的惯性收益现象；市场表现上，沪深两市均表现了强者衡强、弱者衡弱和追涨杀跌的态势，但深市比沪市表现出了更强烈的惯性策略获利性.

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Abstract：This article studied the momentum and contrarian in Shanghai A stock market and Shenzhen A stock market using Jegadeesh and Titman method.The case study shows that it is of strong relation in stock’s price of Shanghai A stock market and Shenzhen A stock market.There shows the momentum in shorttime and longtime,while the contrarian in midtime.On the other hand,it has more strong momentum profit in Shenzhen A stock market than in Shanghai A stock.

收稿日期: 2007-11-08 出版日期: 2008-11-28

ZTFLH:

F 830.91

通讯作者: 陈俊芳

引用本文:

朱曦，陈俊芳，许拯声. 沪深A股市场惯性效应与反转效应的比较分析[J]. 上海交通大学学报（自然版）, .
ZHU Xi1，CHEN Jun-fang1，XU Zheng-sheng2. The Momentum and Contrarian in Shanghai A Stock Market and Shenzhen A Stock Market. J. Shanghai Jiaotong Univ.(Sci.) , 2008, 42(11): 1788-1792.

链接本文:

http://www.qk.sjtu.edu.cn/jsjtunc/CN/ 或 http://www.qk.sjtu.edu.cn/jsjtunc/CN/Y2008/V42/I11/1788