中國股票市場股價慣性現(xiàn)象的實(shí)證研究.pdf

1、浙江大學(xué)碩士學(xué)位論文中國股票市場股價慣性現(xiàn)象的實(shí)證研究姓名：陳立毅申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：戴志敏20041101ABSTRACTPricemomentummeansthatstocks塒t11highreturnsinthepastwilloutperformstockswi廿1lowformerreturnsinthefutureRelatedliteraturerevealsthatpricemomentumisaI

2、lanomalyResearchesonpricemomentumarehelp觚tofindrulesofthechangesofstockprices，tOexplorereasonsofthechangesofstockprices，andtofindprofitableinvestmentstrategiesFurthermore，Researchesonpricemomentumarealsohelpfultojudgeeff

3、iciencyofstockmarketInthispaperweconcentrateONpricemomentuminChinaWeuseweeklyreturnsofA’StocksthatlistedonShanghaiSecurityExchangeasoursample，andthesampleperiodisfrom1999to2002Throughourempiricalresearch，wefindthatpricem

4、omentumisweakinChinaitCanonlybefoundinshertterm，andtheprofitofmomentumstrategiesonlycomesfrombuyingwinnersWealsodosomerobustteststoexcludetheeffectsofotheranomaliesandtheprobabilityofdammining，Theserobusttestsconfirmourf

5、indingofpricemomentuminChina，Onthebaseofempiricalresearch，weinvestigatethepracticalityofmomentumstrategiesinChinaandwefindthatthestrategiesof“buyingwinners”areprofitableMoreoverwetrytofindreasonsofpricemomentumthroughemp

6、iricalresearchAccordingtOexistedliterature，noChinesescholarshavedoneempiricalresearchonreasonsofpricemomentum，WhatwedointhispaperisabreakthroughinresearchmethodandresearchdepthFirstlyweuseFamaFrenchthreefactorsmodeltOadj

7、ustriskofportfoliosunderefficientmarkethypothesisHoweverwinnerportfoliosandmomentumportfoliosstillCangetabnormalreturnsafterriskadjustmentItmeansthatdifferences011portfolios’riskCan’texplainthereasonsofpricemomentumThen，

8、weturntobehavioralfinanceExistedmodelsonbehavioralfinancecanexplainreasonsofpricemomentumtheoreticallyOurempiricalresearchconfirmsthatinvestors’overreacfiontoinformationisthereasonofpricemomentuminChina’Sstockmarket，howe