中國股市動量策略和反向策略投資績效的研究.pdf

1、華中科技大學碩士學位論文中國股市動量策略和反向策略投資績效的研究姓名：吳偉申請學位級別：碩士專業(yè)：企業(yè)管理指導(dǎo)教師：王宗軍20060428華中科技大學碩士學位論文IIAbstractBehavialFinanceTheyisnewresearchhotnessinthefieldoffinancewhichinvestigatestherelationshipbetweenirrationalbehavistheperfmanceofs

2、tockmarket.TheresearchconclusionsmostlycomefrommaturemarketssuchasAmerica.ButirrationalbehavisshouldhavemuchgreaterinfluenceontheperfmanceinemergingmarketssuchasChina.InadditionwiththematurityofSecuritiesLawthetraditionm

3、easurestogetexcessprofitshavebecomeineffectiveinChinastockmarket.Thepotentinvestmentstrategiesbecomemuchmeimptanttoinvests.Goingonthesepremisesresearchesonthevalidityofmomentumstrategiescontrarianstrategiesperfmanceofthe

4、sestrategiesinChinastockmarketareveryurgent.Thispaperfirstintroducesthediscussionamongefficiencyofthemarketsomefinancialanomaliesespeciallybasedonunderreactionoverreaction.Thenwesummarizethestudiesonit.Secondweexaminewhe

5、therthemomentumstrategiescontrarianstrategiescancreatesignificantprofitsunderdifferentfmulationhizonsholdinghizonsbyusingthemonthexchangedata，since1996.1to2004.6.Thenwemakeaqualitydiscussofthereasonsfthesignificantprofit

6、sofstrategies.Intheend，withimprovedtheevaluationofinvestmentstrategiesmodeltheevaluationofperfmancemodelwestudywhethertheinvestmentstrategiesof15openendedfundsinChinaaremomentumstrategiescontrarianstrategiessince2003.1to

7、2005.6whichstrategiescancreatebetterinvestmentperfmance.Themainconclusionsareasfollows：FirstwefindthecontrarianstrategiesaremesuccessfulinChinaasawholetheacterofChinastockmarketplayaveryimptantrole.Secondwefindthatopenen