中国的动量：从回报相关性推断套利活动

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-06-01 DOI:10.1016/j.pacfin.2024.102351

Tian Yue , Jiexiang Huang , Xinfeng Ruan

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引用次数: 0

摘要

本文研究套利者是否会对中国股市产生不稳定影响。我们使用股票间高频异常回报相关性定义的动量来衡量套利活动。与 Lou 和 Polk（2022 年）的研究结果不同，我们发现在中国，无论动量相关性是高还是低，动量股的收益率都表现出长期稳定性。结果表明，套利活动的波动并不能作为中国股市长期动量回报变化的预测指标。这些结果进一步强调了动量策略在中国市场的缺失效应。

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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Comomentum in China: Inferring arbitrage activity from return correlation

This paper investigates whether arbitrageurs can have a destabilizing effect on the Chinese stock market. We use comomentum defined as high-frequency abnormal return correlation among stocks to measure arbitrage activity. In contrast to the findings of Lou and Polk (2022), we find that the returns on momentum stocks exhibit long-term stabilization in China, regardless of whether comomentum is higher or lower. The results suggest that fluctuations in arbitrage activity do not serve as predictive indicators for changes in long-term momentum returns in the Chinese stock market. These results further emphasize the missing effect of the momentum strategy in the Chinese market.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.