|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:
(社科)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.
［2］ DeBondt, Thaler. Dose the stock market overreact?［J］. Journal of Finance, 1985(3): 793805.
［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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