摘要
根据Chordia和Shivakumar的研究思路,利用经济合作与发展组织(OECD)公布的中国综合领先指标(CLI),对中国证券市场动量策略与景气循环之间的关系进行深入研究后发现,中国证券市场确实存在动量报酬现象,并且动量报酬的产生与景气循环存在密切的关系;其成因主要来自于景气循环的扩张期,同时景气循环对持有期较长的策略组合影响较深,对持有期较短的策略组合影响较少。总体而言,在中国证券市场中,如在扩张期执行动量策略可获得理想的报酬。
According to the research methods of Chordia and Shivakumar,this paper studies the relationship between momentum Strategies and business cycle in Chinas’ stock markets by making use of the composite leading indicators of the Organization for Economic Co-operation and Development.The results show that the emerging momentum effects have a close relationship with business cycle.The causes of the momentum effects mainly come from the expanding period of the business cycle;in the meantime business cycle has significant influences on momentum strategies of long holding pe-riod,while less influences on that of short holding period.Generally speaking,momentum strategies performed in the expanding period may obtain good returns in Chinas’ stock markets.
出处
《当代财经》
CSSCI
北大核心
2010年第10期51-59,共9页
Contemporary Finance and Economics
关键词
综合领先指标
动量策略
景气循环
composite leading indicators
momentum strategies
business cycle
