中国股市的日内特征:持续还是反转?

Abstract

本文从日内收益的持续和反转入手,对上证综指的日交易行为进行研究。通过构建了一个具有联立特征的多元回归对隔夜收益和昨日收益、市场升降以及是否处于周一或周五纳入模型进行考察。结果发现:(1)整体而言,中国股市的日内特征表现为反转。依赖于不同市场状态以及是否处于周五,惯性特征也同时存在。(2)昨日收益与隔夜收益对随后市场的日内行为存在显著影响。最后基于out-of-sample效率检验则说明本文的收益预测模型具有较好的Mincer-Zarnowitz效率,并且在交易期间市场存在特定的结构。

From the point of momentum and contrarain, this paper explores the intraday behavior of Shanghai Composite Index. We construct a multiple regression model characterized by simultaneity to investigate the return of last night and yesterday, market states and whether the market is in Monday or Friday. The results show that: (1) generally the intraday behavior of China market appears to be reversal but momentum is also found in it, which depends on the different markets and whether the date is Friday is also important; (2) returns of yesterday and last night have notable effect on the intraday behavior. At last, the effective test, based on the out-of-sample, proves that the return prediction model is Mincer-Zarnowitz effective, and the market has a structural feature in the opening hours.