中國大陸股票市場的反向策略與共同基金之從眾行為

陳盈創

doi:10.6840/cycu201600375

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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 , Masters　　Advisor：胡為善;李彥賢　　

繁體中文 DOI： 10.6840/cycu201600375

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

Abstract │ Reference (29) │ Altmetrics

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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.

Reference ( 29 ) 〈TOP〉

Avramov, D. and Chordia, T., 2006, "Predicting stock returns", Journal of Financial Economics 82, 387-415.
連結：
Bondt, W.F.M. and Thaler, R., 1985, "Does the Stock Market Overreact?", The Journal of Finance 40, 793-805.
連結：
Celiker, U., Chowdhury, J. and Sonaer, G., 2015, "Do Mutual Funds Herd in Industries?", Journal of Banking & Finance 52, 1-16.
連結：
Chang, E.C., Cheng, J.W. and Khorana, A., 2000, "An Examination of Herd Behavior in Equity Markets: An International Perspective", Journal of Banking & Finance 24, 1651-1679.
連結：
Chao, M. and Wu, C.F., 2004, "Tests of Contrarian Strategy Evidence from the Chinese Stock Market", Systems Engineering-theory & Practice 1, 30-34.
連結：

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