摘要
我国沪深A股市场经过二十多年的发展，取得了很大成就，但与西方成熟股市相比，沪深A股市场仍存在许多问题，如中小投资者比例高、内幕交易和市场投机严重、金融产品单一及缺乏有效的避险工具等，因此我国沪深A股市场仍处于非有效市场水平，存在股价的惯性效应和反转效应异象。
近年来，“惯性效应”和“反转效应”作为令人迷惑的股票市场异象，已经成为金融学界关注的热点问题，关于这些现象的实证检验和形成机理的研究直接推动了证券市场微观理论及行为金融理论的发展。根据行为金融理论的观点，“惯性效应”显示股价对信息的反应不足，“反转效应”显示股价对信息的过度反应。研究过度反应和反应不足现象的存在性一方面有助于验证有效市场假说的正确性，另一方面可以指导投资者选择更有效的投资策略，通过反转投资策略或惯性投资策略进行套利活动。因此关于“惯性效应”和“反转效应”异象的研究不仅具有重大的学术意义，也具有很强的应用价值。
本文从理论和实证两个角度全面探讨了我国沪深A股市场惯性及反转效应异象及影响因素、形成原因，对沪深两市异象特征及影响因素进行了系统比较，并在实证检验基础上就中国股票市场交易机制和交易者行为提出相关建议。本文的研究内容主要包括：第一，分别以沪深A股市场作为两个研究个体，同时，为了保持沪深A股市场连贯的股票价值评估模式和足够的研究样本数量，避免由于股权分置改革所导致的市场差异性，选择了1997年1月1日至2005年4月30日沪深A股市场数据作为研究对象，研究在六种形成期交叉搭配六种持有期下，沪深A股市场中各自执行惯性策略或反转策略的显著获利模式。
第二，从市场状态因子和个股特征因子这两个维度出发，分别检验不同因子作用下沪深A股市场惯性及反转策略的获利模式，并对不同因子下两市异象的表现差异性进行了比较，以进一步考察在加入各种市场状态因子和个股特征因子情况下，沪深A股市场惯性与反转策略获利模式的特性。第三，在上述两步基础上，结合国外研究的成果并考虑国内沪深股市的特点，筛选了计量沪深A股市场目标股票的十个因素，采用Fama-Macbeth模型进行指标的敏感性分析，即首先分别对沪深A股市场十个因素进行单因素敏感性分析，筛选出较敏感的因素并分别对沪深股市进行两两因素的敏感性分析，在两两因素敏感性分析基础上继续筛选出敏感因素作进一步的三三因素分析和相关的动态组合检验，通过Fama-Macbeth模型对沪深A股市场截面风险补偿与惯性和反转策略收益分解进行分析，探讨导致沪深A股市场不同股票惯性策略获利性差异的敏感因素。最后采用Fama-French三因子模型分别对沪深A股市场进行市场风险、规模效应、净值市值比效应的检验。
第四，从证券市场的微观结构出发，运用Hasbrouck模型，通过分析目标股票的实时买卖交易价格中包含的信息不对称性，探讨沪深A股市场知情交易者掌握的私有信息与导致沪深A股市场股票价格惯性和反转效应异象之间的关系，并对沪深A股市场的股价信息不对称性及其原因进行比较和分析。第五，进一步从投资者行为角度出发，将投资者分为知情交易者和非知情交易者，运用投资者心理模型，通过对投资者的守旧性和表征性启发式思维方式的分析，说明投资者行为方式对形成股市异象的影响，并进一步从博弈论角度探讨了两类交易者的交易策略，阐述引起沪深A股市场惯性和反转效应异象的形成机理。
现将论文的主要研究结论总结如下：
1、沪深A股市场在不同形成期搭配不同持有期下，执行惯性策略和反转策略的获利性方面具有很强的联动性，两市均表现为短期的惯性收益，中期的反转收益，长期的惯性收益现象；且沪深两市均表现了“强者衡强，弱者衡弱”、“追涨杀跌”的反应强度，但深市比沪市表现出更强烈的惯性策略获利性。
2、沪深A股市场的股票收益率受不同市场状态因子和个股特征因子的影响，其中个股特征因子对沪深A股市场影响显著，沪深A股市场在不同因子作用下具有相似的反应趋势，但深市表现出更强的惯性收益特征。
3、采用Fama-Macbeth模型对导致沪深A股市场不同股票惯性策略获利性差异的敏感因素进行分析，发现影响沪深股市股票回报率变动的共同因素是流通市值效应和价格效应，此外换手率效应对沪市股票回报率有大的影响，而深市的股票回报率还受交易金额效应和换手率效应大的影响；另一方面我们发现市场系统风险β值对深市股票的平均回报率有较大的负向影响，而对沪市股票的平均回报率影响不大。由此表明深市的市场风险大于沪市。
4、我们在进行沪深A股市场的Fama-French三因素模型检验中发现，规模效应和市值净值比效应对沪深A股市场均具有显著的影响。三因子模型进一步证明尽管两市同时反映出具有净值市值比效应，但规模效应对两市具有更显著的影响性。另外，三因子模型的实证结果也显示出，与沪市相比，深市承受的市场风险高于沪市，受账面市值比因子的影响小于沪市。
5、采用Hasbrouck模型从信息传播模式角度探讨了沪深A股市场惯性与反转效应异象的形成机理，发现沪深A股市场中知情交易者掌握的私有信息分别是导致两市股票价格惯性和反转效应异象的重要因素。受我国沪深A股市场投资者结构特殊性的影响，Hasbrouck模型显示的沪深A股市场的市场交易信息含量统计结果呈现两头不对称的哑铃形状，即交易信息含量比重很高的股票比例大大小于交易信息含量比重低的股票比例，实证结果不同于美国纽约股票交易市场采用Hasbrouck模型呈现的纺锤形状，即两头比例很低，结果基本集中在平均值附近。由此解释了与成熟股市相比，我国沪深A股市场存在严重的信息不对称，“庄股”现象横行的现象。另外也说明我国证券市场的投资者投资技巧和研究水平与发达国家相比仍处于不成熟状态，投资者更热衷于通过内幕信息获利，这是导致市场规范度低的原因之一。
6、从沪深A股市场中的投资者行为方式看，我们发现两市的投资者行为符合守旧性和表征性启发式思维方式，这从投资者心理学角度解释了导致沪深A股市场存在惯性效应和反转效应的原因。从投资者行为角度看，在以散户为主的沪深A股市场，庄家与散户博弈的过程中采取欺诈行为以及散户采取跟庄行为，是导致沪深A股市场存在惯性效应和反转效应的重要原因。
论文主要创新点：
1.采用严格规范的实证研究方法，分别以沪深A股市场作为两个研究个体，对两市的惯性与反转效应异象进行检验和全面比较，发现沪深A股市场均具有惯性与反转异象，两市场具有明显的联动性，但从反应强度上看，深市显示了更强的惯性效应。
2.沪深两市所表现出的惯性和反转效应异象的差异性表明两市具有不完全相同的运行规律，由此导致两市投资者获利策略也不尽相同。本文的研究比较了沪深两市不同的运行特征，指出投资者需要根据自身的投资目标，针对不同的市场运行特征采取不同的投资策略，本研究填补了现有研究沪深A股市场运行特征的空缺。
3.运用Hasbrouck模型通过分析股票成交价、成交量之间关系，检验沪深A股市场中价格包含的信息不对称性及其影响程度，首次发现我国沪深A股市场的目标股票的股价信息含量呈现两头不对称的哑铃形状，该结果不同于美国纽约股票交易市场相关股票的股价信息含量呈现趋向于均值的纺锤形状。实证结果一方面显示出我国以散户为特征的市场结构对信息处理能力弱，无法主动获得且无能力加工相应的市场信息，另一方面也显示出沪深市场上庄家凭借资金、人才等实力，对少数股票拥有内幕信息并以此获利的事实，同时实证结果也说明了导致我国证券市场规范度低的原因之一是投资者投资技巧和研究水平与发达国家相比仍处于不成熟状态，投资者更热衷于通过内幕信息获利。对扩展金融微观结构理论运用范畴作了有益尝试。
4.与现有对我国股市价格包含不对称信息的相关研究相比，本文采用Hasbrouck模型对沪深A股市场信息不对称性的研究更加全面和系统，避免了现有研究中采用百分比均值形式对两市不对称信息单一、粗糙描述的现状，提高了研究结果对现象的揭示和反映能力。
5.尝试采用投资者心态模型从投资者的守旧性和表征性启发式思维方式角度解释沪深A股市场惯性及反转效应异象形成的原因，并采用沪深A股市场的实际交易数据进行模拟验证。模拟结果从投资者行为角度进一步验证了投资者思维模式对我国沪深A股市场惯性及反转效应异象的产生有影响作用。
关键词：惯性效应，反转效应，投资者心态模型，信息不对称性，行为金融，Hasbrouck模型
RESEARCH ON MOMENTUM AND CONTRARIAN EFFECTS IN SHANGHAI&SHENZHEN A-SHARE STOCK MARKETS
ABSTRACT
After twenty years’development,the A-share stock market of China has achieved great success.However,compared with the mature western markets,there are still many problems occurred in our market,such as:the abnormal high proportion of individual investors,insider trading,severe speculation,rare financial products and the shortage of effective risk prevention tools.Therefore,the Shanghai and Shenzhen A-share stock markets are not effective market,momentum and contrarian anomalies exist.
For the past few years,‘momentum’and‘contrarian’,as confusing stock market anomalies,have become hotspots in the financial study.
Empirical study on the phenomenon and research on the forming mechanism directly drive the development of securities market’s microscopic theory and behavior financial theory.According to behavior financial theory,‘momentum’reveals the hypo react of stock price to information,while‘contrarian’reveals overreact.Study about the existence of these phenomenon helps to verify the effective market hypothesis,on the other hand,it also helps to guide the investors to choose more effective invest strategies to get arbitrage according momentum or contrarian investment strategy.Accordingly,the study on the‘momentum’and‘contrarian’anomalies not only has significant academic meaning,but also makes great sense in the real stock market.
The paper fully discusses the phenomenon and its influence and reason of Shanghai and Shenzhen A-share stock markets from both aspects of theory and mpirical,systematically compares the abnormal phenomenon and its influence factors,and proposes suggestions on the market exchange mechanism and investor behavior based on empirical study.The content include:1.Take the two A-share stock markets-Shanghai and Shenzhen–as two separate study units.To keep the
consistency of stock valuation model and the sufficiency of study sample in the Shanghai and Shenzhen A-share stock markets,and to avoid the influence of market otherness caused by the non-tradable shares reform,this paper selects the market data from 1st Jan 1997 to 30th Apr 2005 in the Shanghai and Shenzhen A-share stock markets as study object,to study the significant profit model on momentum or contrarian strategy on the basis of 6 ranking periods cross arrange with 6 holding periods.2. Take market factor and characteristic of individual stock factor as two basic dimensions and test the momentum and contrarian profit models affected by other different factors.Moreover,compare the behave discrepancy of the two markets’anomalies under affection of different factors to further investigate the profit model of market momentum and contrarian character with various market factors and characteristic of individual stock factors added.3.Based on the first two steps and combined with the fruit of foreign study and the character of Shanghai and Shenzhen market,this paper filters 10 factors to measure the object stocks, using the sensitivity analysis of Fama-Macbeth model.The process is that: do one factor sensitivity analysis separately on the ten factors of Shanghai and Shenzhen markets at first,to filter more sensitive factors to do two-two factor sensitivity analysis.Moreover,filter again and choose again to do three-three factor analysis.We use Fama-Macbeth model to study the cross-sectional risk factors,and momentum and contrarianstrategies’profit,to find the sensitivity factors that influence the profitability of momentum strategy in Shanghai and Shenzhen A-share stock markets.Finally,we separately test the effect of market risk,size and book-to-market value of equity through Fama-French three factor models in Shanghai and Shenzhen markets.4.Considering the micro-mechanism of the securities market,we choose the Hasbrouck Model.We analyse the asymmetric information included in the real-time bargaining price of the target stock.We also do research on the relations between the private information known to the informed investor,and the momentum and contrarian anomalies of the stock price in the Shanghai and Shenzhen A-share stock markets.Furthermore,the asymmetric information of the stock price in the Shanghai and Shenzhen A-share stock markets,and the reason of it,are compared and analysed.5.We divide the investors into informed investors and uninformed investors from the investor behavior aspect and analyze the conservatism and
representataiveness heuritic through investor psychological model to further expound the influence on stock market anomalies that investor behavior manner exerts.At same time,we discuss the trade strategies of the two investors under situations of symmetric and asymmetric information from game theory aspect,and analyze the form mechanism of momentum and contrarian effect in Shanghai and Shenzhen A-share stock markets.
The main conclusions of this paper are as follows:Firstly,under the precondition of different ranking periods cross arrange in pairs with different holding periods in the A-share stock market, the profit effect of momentum strategies are linked much with contrarian strategies.Both the Shanghai and Shenzhen markets register as momentum
win in short-term,contrarian win in middle-term and momentum win in long-term.Moreover,both markets reflect the phenomenon that‘the winner will always be a winner,and the loser will always be a loser’,and ‘buy when it is going up,sell when it is going down’.However,theShenzhen stock market appears stronger momentum win than Shanghai.
Secondly,the earning yield of Shanghai and Shenzhen A-share stock markets is affected by different market factors and individual stock characteristic factors,while individual stock characteristic factors have significant effect.The reactions of Shanghai and Shenzhen A-share stock markets affected by different factors are the same,while Shenzhen appears a stronger momentum return character.
Thirdly,the paper analyzes the sensitivity factors that affect the profit of momentum strategy in the A-share stock market through Fama-Macbeth model and find the common factors affect stock yield in Shanghai and Shenzhen A-share stock markets are effect of outstanding stock market value and price effect.The turn effect has great influence on stock yield in the Shanghai market while in the Shenzhen market volume effect and turn effect both have great influence.On the other hand,we find bate,which is market systematic risk,has significant negative effect on the average stock yield in Shenzhen A-share stock market.However,the influence in Shanghai is not significant,which indicates a higher market risk in Shenzhen.
Fourthly,when we do the test of Fama-French three factor model in Shanghai and Shenzhen stock markets,we find that effect of size and effect of book-to-market value of equity have significant influence in both Shanghai and Shenzhen markets.The test further testifies that although both markets have effect of book-to-market value of equity,the size effect has more notable influence.In addition,the empirical study of three factor model also shows that Shenzhen market bears a higher market risk compared with Shanghai market,and the influence of book-to-market value of equity is lower in Shenzhen.
Fifthly,we take Hasbrouck model to discuss the form mechanism of momentum and contrarian anomalies in Shanghai and Shenzhen A-share stock markets from the aspect of information spread pattern and find that private information held by informed investors is an important factor thatcauses the anomalies.Affected by the investor structure’s particularity,the result of market trade information in Shanghai and Shenzhen A-share stock markets shown by Hasbrouck model is a dumbbell shape with both ends dissymmetrical.It is said that the proportion of stocks that contain a lot of trade information is much less than the proportion of stocks that contain little.The empirical result differs from the Hasbrouck test result on the USA New York exchange market,which shows a spindle shape with few figures spread in the two ends and most centralize around the average.
This result explain the phenomenon of severe asymmetric information and banker stock in Shanghai and Shenzhen A-share stock markets compared with mature stock markets.In addition,it show that the investment skills and research levels of investors in china stock markets is still juvenility.
They even more fall over theirself for profit by private information,and it is one of reasons which leads low degree criterion in our markets than other country’s developed stock markets.
Sixthly,we find the investors’behavior in accordance with conservatism and representataiveness heuristic in Shanghai and Shenzhen stock markets,which explain the reason for momentum and contrarian from the investor psychology aspect.From the aspect of investor behavior, in Shanghai and Shenzhen A-share stock markets which most investors are individual investors,the bankers cheat in the gaming with private investors and private follow the bankers are important reason for the momentum and contrarian effects in Shanghai and Shenzhen markets.
The main innovative points are as follows:
1.Take strict and normative empirical study for the first time to test and fully compare the momentum and contrarian anomalies in Shanghai and Shenzhen stock markets and find both markets have momentum and contrarian anomalies.The two markets have obvious linkage,while Shenzhen market appears a more stronger momentum effect.
2.The different phenomenon of momentum and contrarian anomaliesbetween Shanghai and Shenzhen A-share stock markets indicate that the two markets do not have the completely same operation character,and so the profit strategy is not absolutely the same.This paper compares the different operation character of the two markets and points out that the investors should take diverse investment strategy aiming at different strategy operation characters.This study fills the gap on the research of operation character in Shanghai and Shenzhen A-share stock markets.
3.By using Hasbrouck model to test the asymmetric information contained in price and its influence through the analysis of stock price and volume,we find out for the first time that market trade informationcontained in the object stocks in Shanghai and Shenzhen A-share stock markets is a dumbbell shape with both ends issymmetrical,different from
the study result of the New York exchange market,which shows a spindle shape with most figures centralize around the average.The empirical result reveals the poor capacity to handle the information in our stock markets with most investors are private investors.They cannot positively get the information or process it.On the other hand,the result also reveals the fact that the bankers know the inside information of a few stocks through their fund and talent people and make profit from it.At the same time,the demonstration shows that the juvenility in china stock markets of the investors’investment skills and research levels is one of reasons which leads lower degree criterion in our markets than other country’s developed stock markets.The investors even more fall over theirself for profit by private information.We make a positive attempt to extent the application of financial micromechanism theory.
4.Compared with other research on the asymmetric information contained in stock price,this paper takes Hasbrouck model to study the asymmetric information in Shanghai and Shenzhen A-share stock markets, which is more completed and systemic,and avoid to take the simple and rough index—average percentage—to describe.This change improve the reflect capability of the study to the phenomenon.5.Try to use investor psychological model to explain the reason for the momentum and contrarian anomalies in Shanghai and Shenzhen A-share stock markets from the aspect of investors’conservatism and representativeness,and also try to verify the model result by using the
exchange figures actually happened in Shanghai and Shenzhen stock markets.The outcome further testifies the model of investor thinking has influence on the cause of momentum and contrarian anomalies in our exchange markets from investor behavior point.
KEY WORDS：Momentum，contrarian，investor psychological models，asymmetric information，behavior finance，Hasbrouck models
目录
第1章绪论..................................................................................................................1
1.1研究背景...........................................................................................................1
1.1.1中国证券市场的现状..................................................................................1
1.1.2股票市场有效性假设的局限......................................................................1
1.2研究意义...........................................................................................................4
1.3主要内容和章节结构........................................................................................4
1.4论文的主要创新...............................................................................................6
第2章股市惯性效应与反转效应异象研究综述.......................................................9
2.1引言....................................................................................................................9
2.2关于过度反应和反应不足异象的研究.............................................................9
2.3关于惯性效应和反转效应异象的研究...........................................................12
2.4行为金融学对股市异象的解释.......................................................................14
2.5关于证券市场微观结构理论---价格形成机制研究综述................................15
2.5.1存货模型和信息模型................................................................................15
2.5.2国内关于微观结构理论研究综述............................................................19
2.6现有研究评述..................................................................................................22
第3章沪深A股市场不同形成期和持有期交叉搭配下的惯性与反转策略获利模
式..................................................................................................................................24
3.1引言..................................................................................................................24
3.2沪深股市不同形成期交叉搭配持有期的惯性与反转策略获利模式研究....24
3.2.1研究思路...................................................................................................24
3.2.2研究方法...................................................................................................25
3.2.3数据处理...................................................................................................27
3.3沪深两市不同形成期与持有期惯性与反转策略获利之实证结果及分析....28
3.3.1沪市实证结果及分析................................................................................28
3.3.2深市实证结果及分析................................................................................31
3.3.3沪深股市实证结果比较............................................................................34
3.4本章小结..........................................................................................................36
第4章不同状态因子下的沪深A股市场惯性与反转策略的获利模式.................37
4.1引言..................................................................................................................37
4.2不同状态因子下的沪深股市惯性与反转策略获利模式考察........................37
4.2.1研究方法...................................................................................................37
4.2.2数据处理...................................................................................................40
4.3沪深股市不同状态因子下惯性与反转策略获利模式实证结果及分析........40
4.3.1沪市实证结果及分析................................................................................40
4.3.2深市实证结果及分析................................................................................54
4.3.3沪深股市实证结果比较............................................................................67
4.4本章小结..........................................................................................................68
第5章沪深A股市场截面风险补偿及惯性与反转策略收益分解.........................70
5.1引言..................................................................................................................70
5.2 CAPM模型、Fama-French三因子模型、Fama-MacBeth模型介绍..........72
5.2.1 CAPM模型.............................................................................................72
5.2.2 Fama-French三因子模型.......................................................................73
5.2.3 Fama-MacBeth模型................................................................................74
5.3沪深股市中截面风险补偿效应检验.............................................................75
5.3.1研究方法.................................................................................................75
5.3.2数据处理.................................................................................................77
5.4实证结果及分析............................................................................................77
5.4.1沪市截面风险补偿效应实证结果..........................................................77
5.4.2深市截面风险补偿效应实证结果..........................................................84
5.4.3沪深股市实证结果比较..........................................................................93
5.5本章小结........................................................................................................93
第6章Hasbrouck模型与沪深A股市场惯性及反转效应异象..............................95
6.1引言..................................................................................................................95
6.2反映股市逆向选择成本的模型选择...............................................................96
6.2.1模型选择准则...........................................................................................96
6.2.2模型选择...................................................................................................96
6.3 Hasbrouck(1991b)模型与沪深股市信息不对称.............................................97
6.3.1采用Hasbrouck模型的研究方法.............................................................97
6.3.2数据处理...................................................................................................99
6.3.3实证结果及分析.....................................................................................100
6.4本章小结........................................................................................................105
第7章交易者行为策略与股市惯性与反转效应分析...........................................107
7.1引言................................................................................................................107
7.2股市中不确定条件下的投资者心理分析.....................................................108
7.2.1两个重要的心理学理念..........................................................................108
7.2.2投资者心态模型.....................................................................................110
7.3沪深A股市场投资者心态检验....................................................................114
7.3.1实证方法阐述.........................................................................................114
7.3.2数据处理.................................................................................................114
7.3.3实证结果与分析.....................................................................................114
7.4本章小结........................................................................................................122
第8章总结和展望..................................................................................................123
8.1论文的主要工作与结论.................................................................................123
8.2进一步促进沪深股市健康发展的建议.........................................................128
8.2.1关于股票投资策略方面..........................................................................128
8.2.2关于股市信息反应机制方面..................................................................128
8.2.3关于政府对股市监管方面......................................................................129
8.3存在的问题和进一步研究的展望.................................................................129
参考文献....................................................................................................................131
附录..........................................................................................................................140
