论文部分内容阅读
证券市场中的反向策略是指购买价格被低估的“价值股票”和抛售价格被高估的“热门股票”.国外大量实证研究表明,采取反向策略能获得较高的收益,而我国目前的实证结果争议较大.采用不同于以往大部分国内学者的实证方法,根据股票的价格比例对资产组合进行分类,对我国证券市场上反向策略的有效性进行了实证研究.结果表明,中国证券市场存在反应过度,反向策略行之有效,从而也说明我国证券市场的非有效性.另外,作为新兴市场,中国证券市场和西方证券市场的反向策略存在差异,主要表现在中国股市的反向周期短于西方发达国家,这可能与中国股市的高换手率有关.
The reverse strategy in the stock market refers to the “undervalued stock” whose price is underestimated and the “hot stock” whose overdue selling price is overestimated. A large number of empirical studies abroad show that adopting a reverse strategy can achieve higher returns , But the current empirical results in our country are much controversial.Using empirical methods that are different from those of most domestic scholars in the past, we classify the asset portfolio according to the price ratio of stocks and make an empirical study on the effectiveness of the reverse strategy in China’s securities market. The results show that there is overreaction in China’s securities market and the reverse strategy is effective, which also shows the ineffectiveness of China’s securities market.In addition, as an emerging market, there are differences between the reverse strategies of China’s securities market and those of the western securities market, The reverse cycle in China’s stock market is shorter than in developed western countries, which may be related to the high turnover rate of China’s stock market.