|本期目录/Table of Contents|

[1]骆桦,李宁. 基于成交量的新兴产业股票动量效应研究[J].浙江理工大学学报,2012,29(04):633-636.
 LUO Hua,LI Ning. VolumeBased Momentum Strategies in Small and MediumSizedEnterprises Board in Chinas Stock Market[J].Journal of Zhejiang Sci-Tech University,2012,29(04):633-636.
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 基于成交量的新兴产业股票动量效应研究()
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浙江理工大学学报[ISSN:1673-3851/CN:33-1338/TS]

卷:
第29卷
期数:
2012年04期
页码:
633-636
栏目:
经济与管理
出版日期:
2012-08-28

文章信息/Info

Title:
 VolumeBased Momentum Strategies in Small and MediumSizedEnterprises Board in Chinas Stock Market
文章编号:
16733851 (2012) 04063304
作者:
 骆桦 李宁
 浙江理工大学理学院, 杭州 310018
Author(s):
 LUO Hua LI Ning
 School of Sciences, Zhejiang SciTech University, Hangzhou 310018, China
关键词:
 动量效应 成交量 收益率 股票
分类号:
F830.91
文献标志码:
A
摘要:
    为了研究中国新兴产业市场股票价格的可预测性,提高投资收益率,借鉴Jegadeesh and Titman的方法,对样本区间内股票价格和成交量数据进行研究。结果表明:高成交量股票在短期内存在动量效应而长期内则表现为反转,低成交量股票在长期内表现为动量效应。

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(3): 6591.
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[3] 王志强, 齐佩金, 孙刚. 动量效应最新研究进展[J]. 世界经济, 2006(2): 8292.
[4] 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): 5689.
[5] Campbell, Grossman, Wang. Trading volume and serial correlation in stock returns[J]. National Bureau of Economic Research, 1992(10): 905939.
[6] Llorente, Michaely, Saar, et al. Dynamic volumereturn relation of individual stocks[J]. Journal of Finance, 2002(15): 10051047.
[7] Lee D D, Chan H, Faff R W, et al. Shortterm contrarian investingis it profitable? ... Yes or No[J]. Journal of Finance, 2003(13): 385404.

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备注/Memo

备注/Memo:
 收稿日期: 2010-12-31
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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