
基于处置效应及反转效应的融资融券业务投资策略
Investment Strategy of Securities Margin Trading Based on Disposition Effect and Reversal Effect
处置效应和反转效应是当前常见的两个金融市场异象,人们常用它们来设计投资策略.针对融资融券标的股票,本文选用资本利得量作为处置效应的代理变量,首先采用计量的方法验证了融资融券市场中的确存在处置效应、反转效应及由两类效应共同解释时出现的反转现象,而后据此设计出一种结合处置效应和反转效应的融资融券零成本策略,该策略在各种排序期和持有期的参数组合下均具有良好表现,优于单独基于反转效应或处置效应设计的策略,具有稳健性和普适性.
Disposition effect and reversal effect are two common market anomalies, which are often used to guide and design investment strategies. Using stocks of securities margin trading and capital gains overhang as the proxy variable of disposal effect, we verify that there is the disposition effect, the reversal effect and jointly by two kinds of effect to explain the phenomenon of inversion in securities margin trading, and then design a strategy which combines both disposition effect and the reversal effect. The strategy is superior to any strategy based on only reversal effect or disposal effect with a steady and universality under various parameter combination of period and holding period.
处置效应 / 反转效应 / 行为金融 / 资本利得量 / 投资策略 / 融资融券 {{custom_keyword}} /
disposition effect / reversal effect / behavioral finance / capital gains / investment strategy / securities lending and borrowing {{custom_keyword}} /
表1 模型(10)的回归结果 |
系数 | 回归结果 | ||
| 0.060344 | 201.4541 | 0.0000 |
0.820670 | 183.2535 | 0.0000 | |
0.138338 | 121.4008 | 0.0000 |
表2 模型(11)~(13)的回归结果 |
均值 | -0.0161 | -0.0365 | -0.0460 | 0.2312 | |
标准差 | 0.0105 | 0.0631 | 0.0510 | 0.1998 | |
均值 | -0.0257 | -0.0638 | 0.3270 | ||
标准差 | 0.0222 | 0.1606 | 0.4195 | ||
均值 | -0.0324 | -0.0142 | -0.0049 | -0.0966 | 0.3886 |
标准差 | 0.2214 | 0.3639 | 0.6912 | 1.2186 | 1.9153 |
表3 反转策略、r/G策略和G/r策略表现排序统计表 |
排名 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
反转策略 | r/G策略 | G/r策略 | 反转策略 | r/G策略 | G/r策略 | ||
1 | 123 | 21 | 14 | 87 | 43 | ||
2 | 8 | 21 | 115 | 29 | 50 | 65 | |
3 | 136 | 8 | 101 | 7 | 36 | ||
总计 | 144 | 144 | 144 | 144 | 144 | 144 |
表4 反转策略排名第一的样本参数组合表 |
4 | 5 | 6 | 7 | 8 | 9 | |
9 | * | * | * | * | ||
10 | * | * | ||||
11 | * | * | * | |||
12 | * | * | * | * | * |
表5 参数符合 |
排名 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
反转策略 | r/G策略 | G/r策略 | 反转策略 | r/G策略 | G/r策略 | ||
1 | 75 | 3 | 67 | 11 | |||
2 | 3 | 3 | 72 | 13 | 11 | 54 | |
3 | 75 | 3 | 65 | 13 |
表6 通过 |
排名 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
反转策略 | r/G策略 | G/r策略 | 反转策略 | r/G策略 | G/r策略 | ||
1 | 116 | 8 | 14 | 80 | 29 | ||
2 | 8 | 8 | 105 | 29 | 17 | 63 | |
3 | 121 | 92 | 21 |
表7 通过 |
排名 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
反转策略 | r/G策略 | G/r策略 | 反转策略 | r/G策略 | G/r策略 | ||
1 | 75 | 3 | 67 | 11 | |||
2 | 3 | 3 | 69 | 13 | 6 | 52 | |
3 | 69 | 59 | 9 |
表8 处置策略、r/G策略和G/r策略周平均收益率表 |
持有期 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
处置策略 | r/G策略 | G/r策略 | 处置策略 | r/G策略 | G/r策略 | ||
1 | 0.00290 | 0.00632 | 0.00598 | 0.00350 | 0.00558 | 0.00549 | |
2 | 0.00244 | 0.00503 | 0.00486 | 0.00288 | 0.00477 | 0.00473 | |
3 | 0.00214 | 0.00442 | 0.00424 | 0.00252 | 0.00430 | 0.00426 | |
4 | 0.00202 | 0.00424 | 0.00394 | 0.00234 | 0.00423 | 0.00405 | |
5 | 0.00182 | 0.00399 | 0.00361 | 0.00214 | 0.00401 | 0.00372 | |
6 | 0.00164 | 0.00363 | 0.00340 | 0.00195 | 0.00362 | 0.00351 | |
7 | 0.00140 | 0.00317 | 0.00300 | 0.00166 | 0.00313 | 0.00303 | |
8 | 0.00128 | 0.00288 | 0.00271 | 0.00151 | 0.00280 | 0.00269 | |
9 | 0.00113 | 0.00264 | 0.00246 | 0.00135 | 0.00252 | 0.00241 | |
10 | 0.00110 | 0.00253 | 0.00237 | 0.00128 | 0.00246 | 0.00237 | |
11 | 0.00105 | 0.00243 | 0.00226 | 0.00121 | 0.00237 | 0.00228 | |
12 | 0.00098 | 0.00225 | 0.00209 | 0.00111 | 0.00219 | 0.00210 |
表9 参数符合 |
持有期 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
处置策略 | r/G策略 | G/r策略 | 处置策略 | r/G策略 | G/r策略 | ||
1 | 0.00290 | 0.00632 | 0.00598 | 0.00350 | 0.00558 | 0.00549 | |
2 | 0.00244 | 0.00507 | 0.00491 | 0.00288 | 0.00485 | 0.00477 | |
3 | 0.00214 | 0.00460 | 0.00438 | 0.00252 | 0.00455 | 0.00438 | |
4 | 0.00202 | 0.00446 | 0.00409 | 0.00234 | 0.00458 | 0.00421 | |
5 | 0.00182 | 0.00419 | 0.00374 | 0.00214 | 0.00433 | 0.00386 | |
6 | 0.00164 | 0.00389 | 0.00357 | 0.00195 | 0.00397 | 0.00368 | |
7 | 0.00140 | 0.00348 | 0.00319 | 0.00166 | 0.00355 | 0.00326 | |
8 | 0.00128 | 0.00322 | 0.00290 | 0.00151 | 0.00326 | 0.00293 | |
9 | 0.00113 | 0.00297 | 0.00260 | 0.00135 | 0.00298 | 0.00261 | |
10 | 0.00110 | 0.00283 | 0.00241 | 0.00128 | 0.00289 | 0.00251 | |
11 | 0.00105 | 0.00272 | 0.00223 | 0.00121 | 0.00280 | 0.00236 | |
12 | 0.00098 | 0.00250 | 0.00202 | 0.00111 | 0.00258 | 0.00217 |
表10 通过 |
持有期 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
处置策略 | r/G策略 | G/r策略 | 处置策略 | r/G策略 | G/r策略 | ||
1 | 0.00290 | 0.00632 | 0.00598 | 0.00350 | 0.00587 | 0.00568 | |
2 | 0.00244 | 0.00503 | 0.00486 | 0.00288 | 0.00504 | 0.00481 | |
3 | 0.00214 | 0.00442 | 0.00424 | 0.00252 | 0.00468 | 0.00426 | |
4 | 0.00202 | 0.00424 | 0.00394 | 0.00234 | 0.00447 | 0.00405 | |
5 | 0.00182 | 0.00399 | 0.00361 | 0.00214 | 0.00401 | 0.00372 | |
6 | 0.00164 | 0.00363 | 0.00340 | 0.00195 | 0.00362 | 0.00351 | |
7 | 0.00140 | 0.00321 | 0.00300 | 0.00166 | 0.00336 | 0.00307 | |
8 | 0.00128 | 0.00299 | 0.00278 | 0.00151 | 0.00311 | 0.00282 | |
9 | 0.00113 | 0.00283 | 0.00260 | 0.00135 | 0.00291 | ||
10 | 0.00110 | 0.00271 | 0.00252 | 0.00128 | 0.00280 | 0.00252 | |
11 | 0.00105 | 0.00258 | 0.00241 | 0.00121 | 0.00277 | 0.00245 | |
12 | 0.00098 | 0.00249 | 0.00225 | 0.00111 | 0.00258 |
表11 通过 |
持有期 | 初始投资金额相等 | 初始投资股票数量相等 | |||||
处置策略 | r/G策略 | G/r策略 | 处置策略 | r/G策略 | G/r策略 | ||
1 | 0.00290 | 0.00632 | 0.00598 | 0.00350 | 0.00587 | 0.00568 | |
2 | 0.00244 | 0.00507 | 0.00491 | 0.00288 | 0.00516 | 0.00486 | |
3 | 0.00214 | 0.00460 | 0.00438 | 0.00252 | 0.00468 | 0.00438 | |
4 | 0.00202 | 0.00446 | 0.00409 | 0.00234 | 0.00458 | 0.00421 | |
5 | 0.00182 | 0.00419 | 0.00374 | 0.00214 | 0.00433 | 0.00386 | |
6 | 0.00164 | 0.00389 | 0.00357 | 0.00195 | 0.00397 | 0.00368 | |
7 | 0.00140 | 0.00348 | 0.00319 | 0.00166 | 0.00355 | 0.00326 | |
8 | 0.00128 | 0.00322 | 0.00290 | 0.00151 | 0.00326 | 0.00293 | |
9 | 0.00113 | 0.00297 | 0.00260 | 0.00135 | 0.00298 | ||
10 | 0.00110 | 0.00283 | 0.00128 | 0.00289 | |||
11 | 0.00105 | 0.00272 | 0.00121 | 0.00280 | |||
12 | 0.00098 | 0.00250 | 0.00111 | 0.00258 |
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