动量效应还是反转效应？以区块链为例

Momentum Effect or Reversal Effect? A Case Study on the Blockchain Stocks

中文关键词:  动量效应  反转效应  JT动量策略  协同效应  溢出效应  区块链

英文关键词:momentum effect  reversal effect  Jegadeesh and Titman investment strategies  coordination effect  spillover effect  blockchain

中文摘要:

      当前,区块链技术在各个领域广泛应用,引领着数字经济时代的发展。在资本市场,区块链板块也成为投资者关注的热点。运用动量策略方法,对我国股票市场2008—2019年98只区块链相关概念股价格进行实证分析,研究发现无论从短期还是长期看,区块链板块都存在稳定的动量效应；该效应在短期内显著,而在长期中可能会被短期效应长期化所带来的反转效应抵消,表现出一定程度的不显著,这与区块链板块产业链覆盖全、易产生协同效应和溢出效应等特殊性有关。因此,监管机构应对区块链板块的短期投资行为进行约束和引导,持续完善资本市场制度建设,引导公众在区块链板块进行价值投资,充分发挥区块链板块的优势与特点,更好地为实体经济服务。

英文摘要:

      Wide application of the blockchain technology is spearheading the development of digital economy today. In the capital market, blockchain stocks have attracted the attention of investors. By employing the Momentum Trading Strategies, the article attempts to empirically evaluate the share price of 98 blockchain stocks in the Chinese stock market between 2008 and 2019. The findings indicate that stable momentum effect exists in the blockchain section both in the short term and in the longer term. Specifically, momentum effect is significant in the short term, but it tends to become relatively insignificant in the longer term since it would be counterbalanced by the reversal effect originated from the perpetuality of short-term effects. This phenomenon is closely related to the wide spectrum of blockchain industry, which tends to generate coordination effect and spillover effect. Therefore, regulators should regulate and guide short-term investment behavior in the blockchain sector, consistently strengthen institutional building in the capital market and incentivize the public to make value investments in the blockchain sector. By so doing, we will be able to fully tap the advantages of the blockchain sector and enable them to benefit the real economy.