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首页> 外文期刊>International Journal of Economics and Finance >Mean Reversion and Momentum in Central and Eastern European Countries – A Case Study on Poland and Romania
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Mean Reversion and Momentum in Central and Eastern European Countries – A Case Study on Poland and Romania

机译：中欧和东欧国家的平均逆转与势头 - 以波兰和罗马尼亚为例

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摘要

There is considerable evidence showing that both mean reversion and momentum exist in stock prices, especially in financially-developed countries. We analyze these phenomena for two Central and Eastern European countries with very different transitions from centrally-planned to market economies: Poland and Romania. Although Poland's stock market cannot be considered well-developed, its capitalization increased from 3 percent of GDP in 1995 to about 30 percent in 2017, while Romania's stayed under 6 percent of GDP in the 1990s and early 2000s, and only recently has increased to about 21 percent. Examining how mean reversion and momentum affect stock prices, we find very similar results for the two countries. The speed at which stocks converge back to their fundamentals (i.e., mean reversion) is much faster than that of the developed markets, with half-lives of just over 9 months for both countries (similar to the results obtained in the literature for the Chinese market, but much shorter than the 3-4 years for the well-developed markets). We also find that the momentum effect lasts less than in the developed countries. Therefore, in most cases, strategies combining mean reversion and momentum generate abnormal excess returns only for holding periods of less than 12 months.
机译：有相当大的证据表明，股票价格中的平均逆转和势头都存在，特别是在经济发达国家。我们分析了两个中欧和东欧国家的这些现象，从中央计划到市场经济中的中央计划提供了非常不同的过渡：波兰和罗马尼亚。虽然波兰的股市不能被认为是良好发展的，但其资本化从1995年的GDP的3％增加到2017年的约30％，而罗马尼亚在20世纪90年代和2000年代初期则占GDP的6％，最近才增加至今21％。审查逆转和动量影响股票价格的平均值，我们为两国找到了非常相似的结果。股票收敛回到其基本面（即平均逆转）的速度比发达市场的速度快得多，两国以上超过9个月的半衰期（类似于中国文学中获得的结果市场，但短短3 - 4年的良好开发的市场）。我们还发现，势头效果持续不到发达国家。因此，在大多数情况下，结合平均回归和动量的策略仅产生异常过量的返回，仅用于持有不到12个月的时间。

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