量化投资能否提高市场效率？

IF 2.1 3区经济学 Q2 BUSINESS, FINANCE

European Financial Management Pub Date : 2024-03-30 DOI:10.1111/eufm.12485

Ruiqing Hu, Wang Xiang, Weinan Zheng, Keyu Zhou

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引用次数: 0

摘要

我们研究了量化投资对中国市场效率的影响。我们提供了一个说明性模型，表明量化投资提高了市场效率。在实证方面，我们进行了时间序列和横截面分析。在时间序列维度上，我们构建了量化程度（QuantDegree）来衡量量化投资的水平。我们发现，随着 QuantDegree 的增加，大多数异常的表现都会下降。在横截面维度上，我们根据量化基金的持股情况和传统异常点将股票分类为投资组合。我们发现，在量化基金持有量较高的组别中，异常股的回报率较低，这一结果在法玛-麦贝斯回归中得到了进一步证实。

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Can quantitative investment improve market efficiency?—Evidence from China

We investigate the impact of quantitative investment on market efficiency in China. We provide an illustrative model to show that quantitative investment enhances market efficiency. Empirically, we conduct both time-series and cross-sectional analysis. Regarding the time series dimension, we construct QuantDegree to measure the level of quantitative investment. We find that the performance of most anomalies decreases as QuantDegree increases. In the cross-sectional dimension, we sort stocks into portfolios based on quant fund holdings and traditional anomalies. We find the anomaly return is lower within the groups with higher quant fund holdings, a result further confirmed by Fama–MacBeth regressions.

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来源期刊

European Financial Management BUSINESS, FINANCE-

CiteScore

4.30

自引率

18.20%

发文量

期刊介绍： European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.