|本期目录/Table of Contents|

[1]骆桦,秦艳艳. 中国股市动量与反转效应模型的研究[J].浙江理工大学学报,2011,28(04):643-646.
　LUO Hua,QIN Yan yan. Study on the Momentum and Contrarian Effect Model in Chinese Stock Market[J].Journal of Zhejiang Sci-Tech University,2011,28(04):643-646.
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 中国股市动量与反转效应模型的研究()
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浙江理工大学学报[ISSN:1673-3851/CN:33-1338/TS]

卷:
第28卷
期数:
2011年04期
页码:
643-646
栏目:
(社科)经济与管理
出版日期:
2011-08-31

文章信息/Info

Title:
 Study on the Momentum and Contrarian Effect Model in Chinese Stock Market
文章编号:
16733851 (2011) 04064304
作者:
 骆桦;  秦艳艳
 浙江理工大学理学院, 杭州 310018
Author(s):
 LUO Hua;  QIN Yanyan
 School of Sciences, Zhejiang SciTech University, Hangzhou 310018, China
关键词:
 ; 股票市场; 惯性效应;  反转效应;  动量策略;  超额收益
分类号:
F830.91
文献标志码:
A
摘要:
    对中国股票市场的动量效应和反转效应进行了研究。根据上证50指数和深圳中小企业板块的实证数据，采用Jegadeesh方法，解释了中长期动量效应和反转效应的存在性，并指出了动量策略和反转策略可能会获取超额收益。

参考文献/References:

 ［1］ Jegadeesh, Titman. Returns to buy the winners and sell the losers: implications for stock market efficiency\[J\]. Journal of Finance, 1993, 48(1): 65\|91.
［2］ Debondr, Thaler. Does the stock market overreact?\[J\]. Journal of Finance, 1985, 40: 793\|805.
［3］ Shen Q, Szakmary A C, Sharma S C. Momentum and contrarian strategies in international stock markets: further evidence［J］. Journal of Multinational Financial Management, 2005, 15(3): 235\|255.
［4］ Wang C Y. Relative strength strategies in China stock market: 1994—2000［J］. Pacific\|Basin Finance Journal, 2004, 12(2): 159\|177.
［5］ 张人骥, 朱平方, 王怀芳. 上海证券市场过度反应的实证检验\[J\]. 经济研究, 1998(5): 58\|64.
［6］ 沈艺峰, 吴世农. 我国证券市场过度反应了吗?\[J\]. 经济研究, 1999(2): 21\|26.
［7］ 王永宏, 赵学军. 中国股市惯性策略和反转策略的实证研究\[J\]. 经济研究, 2001(6): 28\|33.
［8］ 周琳杰. 中国股票市场动量策略赢利性研究\[J\]. 世界经济, 2002(8): 60\|64.

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备注/Memo

备注/Memo:
 收稿日期： 2010-09-26
基金项目： 国家自然科学基金项目（60903143）；浙江理工大学系列课程建设课题项目（11432932320942）
作者简介： 骆桦（1962-），男，浙江诸暨人，硕士，副教授，从事金融数学、微分方程的研究。
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