我国股市动量效应成因研究__基于行为金融的观点

华中科技大学硕士学位论文我国股市动量效应成因研究——基于行为金融的观点姓名：韩卫东申请学位级别：硕士专业：企业管理指导教师：王向阳20061031IHSIIAbstractMomentumeffectisoneofthesocalledanomalies.Ithasbeenvalidatedthatmomentumeffectexistsinstockmarketsallovertheworld.Uptonow,thereisn’taccordantviewpointonthecausesofmomentumeffectinacademia.Studiesindicatethatmomentumeffectisrelatedwiththementalityandbehaviorofinvestors,microstructureofthemarket,andmacrocircumstanceetc.ComparingwiththeWest,thehistoryofChinastockmarketisshort,thesizeissmall,theexchangesystemandsupervisesystemisnotconsummate.So,thispapertrytoexplainthecausesofmomentumeffectinChinastockmarketfrompointofviewofbehavioralfinance,basingonbehavioralfinancemodelsthatexistingoverseaandcombiningwiththecharactersandinvestor’sbehaviorinChinastockmarket.Firstly,thispaperstudytheexistingbehavioralfinancemodelsusedtoexplainmomentumeffect.Secondly,thispaperindicatethecircumstanceofChinastockmarketthroughanalyzingthecharactersandinvestorstructure.Then,thispaperanalyzethementalityandbehaviorcharactersoftheinvestor,andpropoundthreemodelsthatcanexplainmomentumeffectinChinastockmarket:Aimingatthebehaviorofinvestorsininstitution-individualperiodinthehistoryofChinastockmarket,thispaperpropoundthe“marketmanipulation”model.Basingonthepolicymarketcharacter,thispaperanalyzethepolicymarkettendencyandpropoundthe“policymarket”model.ConsultingtheHSmodel,thispaperpropoundthenormalmodeltoexplainmomentumeffectinChinastockmarket.Theresultindicatethat,inthegivenmarketconditions,thementalitycharacterandthealternatingactionofinvestorscanexplainthecauseofrelevantmomentumeffect.Keywords:BehavioralfinanceMomentumeffectThebehaviorofinvestorStockmarket□_____□“√”111.1MomentumEffectReversalEffectRouwenhorst1998PriceMomentumEarningsMomentumMomentumInvestmentStrategyContrarianInvestmentStrategy21.22090JegadeeshTitman199319651989CRSPCenterforResearchinSecuritiesPrices3691210%10%31212%1231.31%61%66JegadeeshTitmanCarhart1997,ConradKaul1998319261989813691218243664312JegadeeshTitman20011990199851993Rouwenhorst199812198019953691216JegadeeshTitmanRouwenhorst1%LiuStrongXu19991977119986Schiereck1999,HameedYuanto20004200193A1993-20002002199520002003199520014200319972002342A6620041995A200619952001A51.3Fama19986ConradKaul1998JegadeeshTitman2001901993121360ConradKaul1998Rouwenhorst1998FamaFrench1996CAPMBrennanChordiaSubrahmanyam1998FamaFrenchDeBondtThaler1985BarberisShlefferVishny1998DenielHirshleiferSubrahmanyam1998HongStein19997DeLongetal.1990BarberisShlefferVishny1998HongStein199920032004CAPM2006A81.4MPTCAPMAPTOPT91.1101.1111.51.21.2121322.12.1.1BSVBSVTverskyKahneman(1974)RepresentativenessHeuristicGriffinTversky(1992)strengthweightsalienceextremityGriffinTversky14BarberisShleiferVishny1998BSVBSVA)AB)BBSVAB2.1.2DHSDHSOverconfidence15BiasedSelf-attributionDaniel,HirshleiferSubrahmanyam(1998)DHS2.1.3ShefrinStatman1985DispositionEffectOdean1998Grinblatt2001Shapira2001161994Locke1999Ferris1988Genesove2001Kaustia2001IPO200119982000GrinblattHan20012.1.4HerdEffect172.22.2.1HSHSHongStein1999BSVDHSHSnewswatchermomentumtraderHSUnifiedTheoryModelJegadeeshTitman1993HongLimStein2000182.2.2DeLongShleiferSummersWaldman1990positivefeedbackDeLong19901933.13.1.12005203.1.220001992200046211712420001991199919911199957199220013.11992550014201992111993214204004001500199471994915003243001055199521995510555265249251996119961215001000100070019976199951500100010591739200022001613562242224215202001101520176920031999213.1.3199320021233221223.23.2.119911998199819992001200043.25200517.4118.41200111.4,20051132.220012001302000QFII199120012001233.2.220024178.611.7243.8112.04370.45224.3454.631261.4STPT23.6247551.56750.941.628.76251642.51390310%39.7%30%93%30%50%14.9%2.1%3.251020305034996363630811951242614.4%39.7%26.2%12.7%4.9%2.1%100%.0055.,2002,410%2539.2%5%21.1%20%20.8%30%10.3%50%14.2%4.4%3.35102030505048389647623696101228821.1%39.2%20.8%10.3%4.2%4.4%100%.0055.,2002,441.0%32.0%27.0%3.4977764641238241.0%32.0%27.0%100%.0055.,2002,4(2001)(dispositioneffect)3.2.3QFII262744.113050IT220012001200122.08%230077.92%2500282001160026.27%10%20%19.81%30%50%9.48%30%344.24.2.12001294.2.220014.32001301,2313K44.1324.14.219961998K43201334.14.219961998K199819966004.4344.34.31999“519”519“”1058.701109.14.64316301756.184.466.883201354.419995.19K4.5HS364.5543201374.5HS385HS139234041[1],,..,2002,4[2],,..,2004,8:29-35[3]..,1999,1:55-56[4]..,2005,5:19-21[5]..,2001,12[6],..,2004,10:141-152[7]...,2006[8]...,2000,4[9],..,,2003[10]...,2005[11]..,2002.1.30[12]..,2001,10:45-52[13],..,2001,6:56-61[14],..,2003,3:41-50[15]..,2001,7:32-40[16].:.42.,2003[17],..,2006,1:85-99[18].:.,2001,4:56-61[19]...,2002[20],..,2001,11:44-48[21]...2002,4:38-40[22],,..,2005,1:120-125[23]...,2002[24]..,2002,8:60-64[25].:..,2004[26],,..,2003,8:62-67[27],..,2005,1:1-11[28],,..,2000,12:56-68[29]Barberis,Nicholas,AndreiShleifer,andRobertVishny.AModelofInvestorSentiment.JournalofFinancialEconomics,1998,49:307-343[30]Carhart,Mark.M.OnPersistenceinMutualFundPerformance.JournalofFinance,1997,52:57-82[31]Conrad,Jennifer,andGautamKaul.AnAnatomyofTradingStrategie