张兵,张瑞祺

• 1:南京大学商学院

摘要(Abstract)：

高换手和高散户比例是我国股市的重要特征。本文以这两大重要特征为视角，探讨了其对A股月度动量效应的影响。通过构建交易者模型分析了体现换手特征的信息传递速度和平稳性对月度动量效应的影响。实证部分构造了反映信息传递速度和平稳性的全换手天数、换手率标准差指标，利用1997—2020年数据分析指出，信息传递速度越快、稳定性越差时月度动量效应越不显著。进一步分析中探究了换手特征背后的投资者结构对月度动量效应的影响，理论和实证结果指出知情交易者比例越低时，月度动量效应越不显著。A股市场换手畸高，信息传递速度较快且稳定性差，同时A股市场散户较多，综合作用使得A股月度动量效应不显著。本文的分析丰富了动量效应的研究，也为A股市场月度动量效应不显著提供了全新的解释。

关键词(KeyWords)： 动量效应;信息传递;全换手天数;知情交易概率

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 张兵,张瑞祺

DOI: 10.16513/j.cnki.cje.20221024.004

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