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Contrarian and Momentum Effect in Chinese Stock Market

Author: XueZuoZuo
Tutor: ZhengMing
School: Xiamen University
Course: Financial
Keywords: momentum effect contrarian effect test period
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Type: Master's thesis
Year: 2014
Downloads: 3
Quote: 0
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Abstract


Efficient Market Hypothesis (EMH) implies that all information about the security market can be reflected in the stock price promptly. Investors cannot get excess returns based on the public information. All kinds of financial anomalies show that the stock market doesn’t work as EMH. Most financial anomalies cased widely attention of investors, and then gradually disappeared. But there isn’t any evidence show that contrarian and momentum effect disappeared or disappearing, that’s why more and more academician and practitioners focus on it. Now, studies about developed markets such as American stock market show that momentum effect exists mainly in3-12months and contrarian effect exists in more than1year.The stock market plays a very important role in the economic development of our country. A comprehensive study of the regularity of Chinese stock market to get a clear and credible conclusion is very necessary, not only to promote the rational investors operation, but also to promote the management mechanism which can make the market more efficient. The examination of momentum and contrarian effect is the foundation and the beginning of this research.In this paper, I found that in2-5years, there is significant contrarian effect. In3-12months, neither contrarian effect nor momentum effect can be observed. There is weak contrarian effect when the observation period is one or two months. When I study on weak data, I found that there is a little momentum effect in early years. Later, the momentum effect disappeared and contrarian effect grows up. Study on daily data shows that as time goes on,both momentum and contrarian effects grow up. Momentum effect is stronger in the bull markets and contrarian effect is stronger in the bear markets. The momentum effect exists when the observation period is one or two days while the contrarian effect often shows up in the medium length of observation and holding period.

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