牛市和熊市中相关行业的动量和逆向策略研究

2013 International Conference on Management Science and Engineering 20th Annual Conference Proceedings Pub Date : 2013-07-17 DOI:10.1109/ICMSE.2013.6586503

Wang Su-sheng, Liao Zhi-chao

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引用次数: 1

摘要

动量效应和反向效应是金融异常现象，在公司层面上已经发现。最近，Menzly和Ozbas(2010)在跨行业层面研究了动量。本文基于中国股市的数据，对相关行业在牛市和熊市中的动量和逆向策略进行了检验。首先，利用投入产出模型和2000 - 2009年的中国股票数据，构建了行业供应商和客户的收益。其次，本文从两个方面定义了牛市和熊市。最后，我们用不同的市场定义检验了牛市和熊市中相关行业的动量和逆向效应。我们发现动量效应和反向效应在不同的市场状态下是一致的。客户行业排序组合主要表现为动量效应，供应商行业排序组合主要表现为逆向效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Research on momentum and contrarian strategies of related industries in the bull and bear markets

Momentum and contrarian effects are financial anomalies and have been found on firm level. Recently, Menzly and Ozbas (2010) study momentum on cross-industry level. The paper tests momentum and contrarian strategies of related industries in the bull and bear markets based on data of Chinese stock market. First, we construct returns of supplier and customer of industries by using the Input-Output accounts and the Chinese stock data from 2000 to 2009. Second, the paper defines the bull and bear markets in two ways. Finally, we test momentum and contrarian effects of related industries in the bull and bear markets with different market definition. We find that momentum and contrarian effects are consistent in different market states. The portfolio sorted by customer industries mainly exhibits momentum effects and the portfolio sorted by supplier industries exhibits contrarian effects.

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2013 International Conference on Management Science and Engineering 20th Annual Conference Proceedings

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