基于成交量的周动量策略优化研究——来自中美股市的实证结果

2019 16th International Conference on Service Systems and Service Management (ICSSSM) Pub Date : 2019-07-01 DOI:10.1109/ICSSSM.2019.8887821

Yan Zhou, Dan Yu, Xiangjun Yuan, Min Liu

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引用次数: 0

摘要

本文构建传统的周动量投资组合，并将交易量加入其中，研究周动量投资策略下的交易量优化问题。对1965年至2012年纽约证券交易所和美国证券交易所股票的研究表明，增加交易量将持续优化股票回报至少四年。同时，对1993 - 2014年沪深A股的研究表明，在加入交易量后，股票收益将持续优化长达5年。对周动量策略与基于交易量的市场状态进行回归分析，发现策略报酬与市场波动率和市场非流动性呈反向关系。

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Research on strategy optimization of weekly momentum based on trading volume: Empirical results from the U.S. - China stock market

In this paper, we construct the traditional weekly momentum portfolio and add the trading volume to it in order to study the optimization of the trading volume on the weekly momentum investment strategy. The study of NYSE and AMEX stocks from 1965 to 2012 shows that adding trading volume will continue to optimize stock returns for at least four years. At the same time, the study of Shanghai and Shenzhen A shares from 1993 to 2014 shows that the stock returns will continue to be optimized for up to 5 years after trading volume is added. The regression analysis between the weekly momentum strategy and market State based on trading volume finds the reverse relationship between strategic remuneration and market volatility and market illiquidity.

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2019 16th International Conference on Service Systems and Service Management (ICSSSM)

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