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The Study of the Feasibility of Momentun Strategy in China Stock Market

Author: LiuPengFei
Tutor: FuTaiPing
School: Xiangtan University
Course: Business management
Keywords: China Stock Market Momentun Strategy
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Type: Master's thesis
Year: 2013
Downloads: 52
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Abstract


The aim of this paper is to identify the possibility of the application of momentumstrategy in China stock market.The paper frist review the literatures. The EMH and CAPM are two supportingpillars of modern finance theory. But evidences have shown that the market was notthat efficient as we thought. Theses evidences were B/M, size effect, calendar effect,etc.Then, this paper examined a series of momentum strategies which was decided bythe forming period and holdind period. The forming period can be1month,3months,6months,9months, and12months. The holding periods range from1month to12months. The result have shown that the profit of strategy (9,9) is evident, and the returnof this strategy can be1.81%per year. This profit is not that big so that the strategy canbeappliedin Chinastock market. But thepaper did findthatloser’s portfolio hadstrongreversal effect.

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