股票互自相關(guān)與反轉(zhuǎn)收益的實(shí)證研究

采用反轉(zhuǎn)交易策略的方法，構(gòu)建了滬市A股滯后1～8周的互自相關(guān)系數(shù)矩陣，發(fā)現(xiàn)滬市A股存在與美國股市不同的互自相關(guān)關(guān)系和領(lǐng)先滯后結(jié)構(gòu)。通過對(duì)反轉(zhuǎn)交易策略的盈利進(jìn)行分解分析，進(jìn)一步證實(shí)了以上結(jié)論，發(fā)現(xiàn)在滬市A股股票之間的互自相關(guān)關(guān)系對(duì)反轉(zhuǎn)收益的作用是隨時(shí)間發(fā)生變化的。該文的實(shí)證結(jié)果還暗示，股市是否存在過度反應(yīng)與考察期跨度的選擇有很大關(guān)系。

Adopting the methods of Lo et al. (1990) and using weekly return of 234 stocks listed in Shanghai A stock market, this paper conducts the size-sorted cross-autocorrelation matrices with lagging periods from 1 to 8 weeks. The different cross-autocorrelation and lead-lag structure in Shanghai stock market is found compared with those in US stock market reported by Lo et al. (1990). Investigation on Lo-MacKinlay contrarian strategy suggests that the cross-autocorrelation in Shanghai stock market has time-varying role for contrarian profits. This paper also finds that the overreaction may correlate to the different research length.