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股票动量效应在全球主要股票市场普遍存在但在中国市场消失。针对这一价格异象构建动量效应的“市场状态-动态β暴露”产生机制的理论模型，并利用全球股票市场样本进行验证。理论分析表明，动量因子水平由动量组合构建期和持有期的联合市场状态决定，只有两期市场状态一致的情况下，动量组合才能获得正的回报，否则将会蒙受损失；有长期趋势的市场的动量因子高于震荡市场，无趋势的震荡市场不具有明显动量回报。实证检验结果显示，全球各股票市场中动量因子的收益与“构建期—持有期”联合市场状态之间的关系，与理论模型的预测高度一致；在控制“市场状态—动态β暴露”机制影响后，中国股票市场与其他市场在动量因子收益上的差异不再显著。这表明，中国股票市场“动量消失”现象主要是由于缺乏长期趋势演化特征，在“市场状态—动态β暴露”机制作用下所致。
Abstract：In global stock markets, momentum effects are widely observed, yet they vanish in the Chinese market.To investigate this pricing anomaly, we constructed a theoretical model for the “market state-dynamic β exposure” mechanism underlying momentum effects and tested it with international stock market samples.The theoretical analysis indicated that the level of the momentum factor depended on the joint conditions of the market during both the formation and holding periods of momentum portfolios.Momentum portfolios generated positive returns only when market conditions were consistent across the two periods; otherwise, they incurred losses.Moreover, markets with long-term trending behavior showed higher momentum factors than those with oscillatory patterns, and oscillatory markets without directional trends did not exhibit clear momentum returns.Empirical results across global stock markets revealed a strong concordance between momentum factor returns and the formation-holding joint market states, closely matching the theoretical model's predictions.After controlling for the “market state-dynamic β exposure” mechanism, the differences in momentum factor returns between the Chinese stock market and other markets were no longer statistically significant.This finding suggests that the “momentum disappearance” phenomenon in the Chinese stock market primarily resulted from the absence of long-term trend dynamics, driven by the “market state-dynamic β exposure” mechanism.
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(1)包括了G7成员国、金砖国家(巴西、俄罗斯、印度、中国、南非)、东亚经济体(韩国)以及东南亚经济体(新加坡),同时包含中国香港特别行政区和中国台湾地区。
(2)大部分股票市场在长期内的良好表现也可以从现有关于股权溢价之谜的研究中得到印证(Campbell,2003;Mehra,2012)。
(3)但是,亦有研究发现,日本市场加入动量因子能够平衡投资组合的风险,改善投资组合的表现,而且基于路径优化的动量组合依然能够获得超越市场的回报(Asness,2011;Gray and Vogel,2016)。可见,相对于日本市场,中国股票市场的“动量消失”更加彻底。
基本信息:
DOI：
中图分类号:O213;F832.51
引用信息:
[1]李松,水晶石,王玉峰.中国股票市场“动量消失”之谜的新阐释——以“市场状态-动态β暴露”机制为视角[J].金融经济学研究,2025,40(04):19-37.
基金信息:
国家社会科学基金西部项目(21XGL007)