股票互自相关与反转收益的实证研究

采用反转交易策略的方法,构建了沪市A股滞后1~8周的互自相关系数矩阵,发现沪市A股存在与美国股市不同的互自相关关系和领先滞后结构。通过对反转交易策略的盈利进行分解分析,进一步证实了以上结论,发现在沪市A股股票之间的互自相关关系对反转收益的作用是随时间发生变化的。该文的实证结果还暗示,股市是否存在过度反应与考察期跨度的选择有很大关系。

Empirical Analysis of Cross-Autocorrelation and Contrarian Profits in Shanghai Stock Market

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.