動能策略研究

Abstract

上海與深圳股票市場規模日益成長，但投資人卻以散戶為主體，而非像歐美以投資銀行為主要參與者，在此背景下，本文用基於Jegadeesh and Titman (1993)動能策略的研究模式，並擴大其形成期、持有期的測試，發現兩股票市場存在非常穩定的負值動能利潤。此外，我們採用Bhattacharya et al. (2003) 的透明度指標：盈餘激進度(earning aggressiveness)和盈餘平滑度(earing smoothing)，對大陸上市公司作財務訊息揭露測試，數據結果顯示，兩個透明度指標無法有效影響動能利潤，上市公司無論透明度高或低，其股票價格皆容易出現反轉現象。.

There exists a large ratio of retail investors in China stock market and this fact is significantly different from American and Euro main markets. We have known that the latter exist momentum profit using six months formation and holding period by Jegadeesh and Titman (1993). However, momentum researches for China are imperfect and still too few. Therefore, this study examines whether Shanghai and Shenzhen stock markets have the momentum profit. We find that these two markets have significant contrarian and no momentum profit. We also create the benchmark portfolio: artificial momentum strategy and follow Bhattacharya (2003) to compute the transparency indices. Our outcomes show that winner’s or loser’s transparencies of native contrarian are not differ from artificial momentum. Their averages of decile transparencies are between 4.5 and 6.5 for not only top 10% winner but also bottom 10% loser. According these results, we suggest that the inertia and reversal of stock price are irrelative to financial transparency in Shanghai and Shenzhen stock markets.