论文部分内容阅读
资金流强度MF1和MF2的区分度显著:bottom组合的收益显著高于top组合,说明前期资金流强度越小的股票,当期收益越高。因此根据资金流强度指标选股是有意义的。根据以上指标选股,效果较好的区间是:观察期[5,15]日,持有期[3,5]日;对于资金流杠杆系数MF3和相对资金流MF4,指标区分度并不明显,top组合与bottom组合收益差距较小,原因可能在于指标失效。
The distinguishing degree of financial flow intensity MF1 and MF2 is significant: the bottom combination returns significantly higher than the top combination, indicating that the smaller the initial capital flow intensity stocks, the higher the current income. Therefore, according to the strength of the stock flow index stock selection is meaningful. According to the above indicators stock selection, the better the range is: the observation period [5,15], the holding period [3,5] days; for the capital flow lever coefficient MF3 and the relative flow of funds MF4, index differentiation is not obvious , top portfolio and bottom portfolio income gap is small, the reason may be that indicators fail.