金融研究
金融研究
금융연구
Journal of Financial Research
2011年
8期
157~166
,共null页
惯性效应 反转效应 次贷危机
慣性效應 反轉效應 次貸危機
관성효응 반전효응 차대위궤
inertial effect, reversal effect, sub-prime crisis
随着经济一体化进程加快,世界各主要经济体的联系越来越紧密,其股票市场的相关度也日益提高。2008年的“次贷危机”为我们检验和比较不同市场面对冲击的表现提供了绝佳的机会一根据危机中不同市场表现出的惯性效应或反转效应,本文验证了不同市场投资者的策略选择。结果表明,欧美市场易出现惯性效应,亚洲市场易出现反转效应。
隨著經濟一體化進程加快,世界各主要經濟體的聯繫越來越緊密,其股票市場的相關度也日益提高。2008年的“次貸危機”為我們檢驗和比較不同市場麵對遲擊的錶現提供瞭絕佳的機會一根據危機中不同市場錶現齣的慣性效應或反轉效應,本文驗證瞭不同市場投資者的策略選擇。結果錶明,歐美市場易齣現慣性效應,亞洲市場易齣現反轉效應。
수착경제일체화진정가쾌,세계각주요경제체적련계월래월긴밀,기고표시장적상관도야일익제고。2008년적“차대위궤”위아문검험화비교불동시장면대충격적표현제공료절가적궤회일근거위궤중불동시장표현출적관성효응혹반전효응,본문험증료불동시장투자자적책략선택。결과표명,구미시장역출현관성효응,아주시장역출현반전효응。
With the world economic integration process, the major economics are increasingly linked, and the correlation among these stock markets is also increasing. The sub-prime crisis of 2008 provides us a great op- pertunity to test and compare the performance of different markets to the shocks. In the paper, inertial and re- versal effects are employed as empirical tools to study and demonstrate the investor's strategy choice in terms of stock return in the markets of the USA, Japan, Europe and HKSAR. The empirical evidence shows that Asian stock markets are significantly liable to possess a particular characteristic of reversal effect whilst the markets in Europe and the USA tend predominantly towards inertial effect.