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Inertia and inversion phenomenon exists in China 's stock market research

Author: ChengShun
Tutor: WangQingShi
School: Dongbei University of Finance
Course: Quantitative Economics
Keywords: Momentum Contrarian Winner Portfolio Loser Portfolio Cumulative Abnormal Return
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 126
Quote: 3
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Abstract


From the 1980s, Many empirical research shows that there have a great deal of "market anomalies phenomena" in the market. One of the most typical "market anomalies phenomena" is the momentum and contrarian of the stock price. "Price momentum means that stock price movements remain on the stage. In other words, the stocks with higher returns will still have higher returns than those lower-return stocks in early period. But price contrarian means that the stock price movements change the trend of the last period in this period. Lower-return stocks may get higher return than the higher-return stocks in next period. Meanwhile, two important investment strategies have generated from these two phenomena. One is the Contrarian Investment Strategy. The other is the Momentum Investment Strategy. These Self-related phenomena since the stock market has been found in many foreign countries.Is there such phenomena in the Chinese stock market? And are the investment strategies feasible? This article comprehensively and systematically explains the traditional finance and behavioral finance. Than we do some research on Chinese market by using the transaction data of the Shanghai and Shenzhen stock markets. We have found three conclusions. First, there is a weak and short-term phenomenon of momentum in Chinese stock market. Second, our market has an obvious contrarian phenomena in long period. Third, Chinese stock market has higher degree than foreign countries in terms of contrarian phenomena.In addition, the paper also compares the research conclusion between Chinese and foreign market. Then we analyze and give the reasons for the difference. We hope that our study can reveals some regularity and particularity in the movements of Chinese stock price.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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