중국 주식시장에서 역행투자전략의 성과에 대한 실증적 연구 = An Empirical Study on the Performance of Contrarian Strategy in Chinese Stock Market

다국어 초록 (Multilingual Abstract)

The contrarian strategy based on historical stock prices is a well-known market anomaly contradicting the weak-form market efficiency. Debondt and Thaler(1985) provide an evidence on the contrarian strategy that can generate cumulative abnormal returns relative to the market index by analyzing monthly return data of the New York Stock Exchange common stocks from January 1926 to December 1982. They argue that the overreaction of investors to the unexpected and dramatic new information would cause the overshooting of stock prices in the short-term, so the stock prices would reverse to the fundamental level when investors realize their mistakes in the long-term. However, there also exist studies arguing time-varying systematic risk, not overreaction of investors, is a main reason of the return reversal phenomenon in the long-term. In fact, both the overreaction of investors and time-varying systematic risk would partly contribute the historical patterns of stock returns such as short-term momentum and long-term reversal phenomena. The contrarian strategy is a trading strategy of selling winners and buying losers, and holding the portfolio for around 3 to 5 years since the long-term return reversal often occurs in the market. Similarly, the momentum strategy is to buy winners and sell losers with a less than 1-year holding period, which is based on the short-term continuation of stock returns. In the studies of U.S. stock market data, both trading strategies are known profitable and argued as a prima facie evidence on the weak-form market efficiency. The economy of China has remarkably been growing since the market was opened up to the rest of the world in 1978. As of June 2015, the Shanghai Stock Exchange(SSE) exhibits notable statistics such as 1,081 companies listed, 5,914 stocks traded, and $5.9 trillion of a market capitalization; and the Shenzhen Stock Exchange(SZSE) founded in 1991 also records 1,746 firms offered, 3,440 stocks traded, and $4.4 trillion of market capitalization. Recently, China Securities Regulatory Commission tries to promote foreign investors to invest in the Chinese Stock Market by introducing new policies such as the Shanghai-Hong Kong Stock Connect. Especially, Korean Economy is closely connected to the economy of China, so it would be interesting to study the market efficiency of the Chinese Stock Market. This study investigates the contrarian strategy in Chinese stock market from 2000 to 2014 by employing the market-adjusted model and the risk-adjusted model. We construct the winner and loser portfolios using cumulative abnormal returns of individual stocks following the methodology of De Bondt and Thaler (1988). The upper and lower 20% individual stocks based on previous 3-year excess returns consist of the winner and loser portfolios. Overall, the empirical results support the contrarian strategy regardless of the performance measure such as the market-adjusted model and the risk-adjusted model. That is, the contrarian strategy selling winners and buying losers based on previous 3-years cumulative abnormal returns produces economically and statistically significant abnormal returns at the Chinese Stock Market in the following 1- to 3-year holding periods. Interestingly, the trading strategy is more profitable in the Shanghai Stock Exchange than in the Shenzhen Stock Exchange.

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