中國大陸股票市場的反向策略與共同基金之從眾行為

The Contrarian Strategies in Chinese Stock Market and Mutual Fund’s Herding Behavior

陳盈創(Ying-Chuang Chen)

指導教授 ： 胡為善 ； 李彥賢

中原大學/商學院/企業管理研究所/碩士(2016年)

https://doi.org/10.6840/cycu201600375

摘要

本研究運用1995年至2015年之季資料，探討中國大陸股票市場之反向策略報酬率與共同基金從眾行為之關聯性分析，及探討反向策略報酬率是否受到總體經濟環境變化之影響。實證結果彙總於下：

一、本研究發現，中國大陸股票市場的輸家股票之後續報酬率優於贏家股票之後續報酬率，尤其是當執行反向策略在形成期或持有期為兩年至三年時，皆可獲得顯著的正向報酬率，且執行形成期為三年之反向策略能獲得最高之報酬率。

二、本研究發現，若形成期及持有期皆在兩年內，共同基金從眾程度高的輸家股票與共同基金從眾程度低的輸家股票的後續報酬率間呈現顯著正向差異，此項從眾行為與反向策略間之不對稱性，使得輸家股票之後續報酬率取決於共同基金的從眾程度。

三、本研究發現，若運用兩年的形成期，買入高從眾行為之輸家股票，並賣出低從眾行為之贏家股票的零成本投資組合產生的報酬率為最高。

四、本研究發現，從眾行為與特定期間之反向策略呈現正向顯著關係，說明共同基金之從眾程度越高，運用反向策略可以獲得之報酬率越佳。且總體經濟指標與特定期間之反向策略呈現顯著負向關係，表示若總體經濟環境越差，反向策略的投資報酬率則越高。

關鍵字

中國大陸股票市場 ； 反向策略 ； 共同基金 ； 從眾行為 ； 總體經濟指標

並列摘要

This study examines the performance of contrarian strategy and the impact of mutual funds herding on the rates of return of contrarian strategy using seasonal data during 1990 to 2015 in Chinese stock market. This study also elucidates the relationship between the profit of contrarian strategy and changes in macroeconomic environment. Empirical results are listed below:

1.Findings indicate that the loser stocks outperform winner stocks in subsequent quarters, suggesting the significant rates of return of contrarian strategy over either formation period or holding period for 2 and 3 years in Chinese stock market. Especially, the maximum rate of return of contrarian strategy is occurred when the formation period being 3 years.

2.This study also finds that most loser stocks with high level of mutual funds herding outperform loser stocks with low level of mutual funds herding during both the formation and holding periods less than 2 years. This asymmetry exists between contrarian strategy and herding behavior, suggesting that the profitability of contrarian strategy depends on the level of mutual funds herding.

3.Findings show that the investor buys loser stocks with high level of herding and sells winner stocks with low level of herding during 2-year formation period, then this strategy of zero-cost portfolio will produces the highest rate of return.

4.This study finds that the payoff of contrarian strategies is positively related to the herding effect and negatively related to the macroeconomic factor, suggesting that the investor can buy loser stocks and sell winner stocks to achieve positive rates of returns during the poor economic environment. Moreover, the poorer economic environment is, the better the rates of return on contrarian strategy are.

並列關鍵字

Chinese stock market ； Contrarian strategy ； Herding behavior ； Macroeconomic environment ； Mutual fund

參考文獻

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