长期冲击、价格调整与股票组合收益的互相关关系

中国管理科学 ›› 2007, Vol. 15 ›› Issue (4): 9-13.

长期冲击、价格调整与股票组合收益的互相关关系

许友传¹, 何佳^1,2

1. 上海交通大学安泰经济与管理学院, 上海 200030;
2. 香港中文大学工商管理学院, 香港沙田

收稿日期:2006-12-10 修回日期:2005-05-15 出版日期:2007-08-31 发布日期:2007-08-31
作者简介:许友传(1977- ),男(汉族),安徽人,上海交通大学安泰经济与管理学院博士生,研究方向:金融工程

Long-Term Impact, Price Adjustment and the Cross-Autocorrelations between Stock Portfolio Returns

XU You-chuan¹, HE-Jia^1,2

1. The Antai College of Economics &Management, Shanghai Jiaotong Univ., Shanghai 200030, China;
2. College of Business Management, The Chinese University of Hong Kong, Hong Kong

Received:2006-12-10 Revised:2005-05-15 Online:2007-08-31 Published:2007-08-31

摘要/Abstract

摘要： 本文研究了以流通规模为基础的大、小股票组合之间的互相关关系。小股票组合对大股票组合显著为负的滞后引导关系表明基于价格调整速度差异的信息扩散机制在我国股市并不存在,这需要结合我国证券市场特定的投资者构成和投资行为才能给予可能的解释。组合收益率的长记忆性对互相关关系检验的有效性有着不可忽略的影响,在剔除长期因素的影响之后,组合之间的互相关关系有所减弱或消失。

关键词: 互相关关系, 价格调整, 长记忆性, 投资者构成

Abstract: The paper researches the cross-autocorrelations among stock portfolios with different sizes of circulation.The significantly negative lead-lag correlations of smaller portfolios to bigger portfolios indicate that the traditional information transm ission mechanism based on the difference of price adjustment speeds doesn't exist in Chinese stock market.It maybe gives the unusual phenomenon a possible explanation from the angle of the special investor compositions and investor behaviors in Chinese stock market.We also find that the weak long memory characteristic has significant impact on the cross-autocorrelations among the size-based portfolios and the cross-autocorrelation weakens or disappears after eliminating the influence of long memory.

Key words: cross-autocorrelation, price adjustment, long memory, investor composition

中图分类号:

F224-3

许友传, 何佳. 长期冲击、价格调整与股票组合收益的互相关关系[J]. 中国管理科学, 2007, 15(4): 9-13.

XU You-chuan, HE-Jia. Long-Term Impact, Price Adjustment and the Cross-Autocorrelations between Stock Portfolio Returns[J]. Chinese Journal of Management Science, 2007, 15(4): 9-13.

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