중국 주식시장에서 주가의 반전효과에 관한 실증연구

Abstract

The purpose of this study is to test whether or not performance of the investment strategy using high price of the months, trading volume and size exist in the Chinese stock market. In order to test it, the methods of George and Hwang(2004), Cooper, Gutierrez and Hameed(2004) and Swaminathan and Lee(2000) are used. Specifically, this study tests whether or not performance of the investment strategy using high price of the months, and trading volume and size differs between up markets and down markets by the lagged market returns. The empirical results of this study can be summarized as follows: First, the empirical results finds that performance of the contrarian investment strategy by reversal effect exists significantly in the Chinese stock market. Second, the profits of the early-stage investment strategy is big than the profits of the late-stage investment strategy in the Chinese stock market. which is different with US stock market. It is also found the profits of the early-stage investment strategy is big than the simple performance of the investment strategy. Third, it is found that the early-stage investment strategy acquires bigger profits in the down market by the lagged market returns. Forth, it is found that contrarian investment strategy using high price of the months and size acquires the biggest profits in the down market by the lagged market returns.