证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2010年
11期
72~77
,共null页
侯丽薇 谢赤 戴军 葛新元
侯麗薇 謝赤 戴軍 葛新元
후려미 사적 대군 갈신원
资金流向 噪声交易 羊群效应
資金流嚮 譟聲交易 羊群效應
자금류향 조성교역 양군효응
capital flow noise trading herd effect
本文旨在探讨资金流向和当期股票收益率以及未来股票收益率之间的关系。文章建立起基于A股市场的资金流向统计分析框架,通过对A股市场分钟级高频交易数据的统计分析发现,在A股市场中,资金流向对未来股票收益率具有中期反转的特性,并从行为金融的角度对这一现象进行了合理的解释,为A股投资者提供了一个新的有效的投资策略。
本文旨在探討資金流嚮和噹期股票收益率以及未來股票收益率之間的關繫。文章建立起基于A股市場的資金流嚮統計分析框架,通過對A股市場分鐘級高頻交易數據的統計分析髮現,在A股市場中,資金流嚮對未來股票收益率具有中期反轉的特性,併從行為金融的角度對這一現象進行瞭閤理的解釋,為A股投資者提供瞭一箇新的有效的投資策略。
본문지재탐토자금류향화당기고표수익솔이급미래고표수익솔지간적관계。문장건립기기우A고시장적자금류향통계분석광가,통과대A고시장분종급고빈교역수거적통계분석발현,재A고시장중,자금류향대미래고표수익솔구유중기반전적특성,병종행위금융적각도대저일현상진행료합리적해석,위A고투자자제공료일개신적유효적투자책략。
This paper intends to explore the relationships between capital flows and stock returns at the current time and in the future. We set up a framework for statistical analysis based on the A-share market. According to the statistical analysis of the high-frequency transaction data in minute level from A-share market, it is indicated that in the market, capital flows have a medium-term reversal impact on the future stock return. Furthermore, we tried to find out reasonable explanations for this phenomenon from the perspective of behavior finance, and provided investors a new and effective investment strategy on the A-share market.
