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The Research of Momentum and Contrarian Effects in China’s A-share Stock Markets

Author: ShaoZuoZuo
Tutor: ZhaoHuiFang
School: Hefei University of Technology
Course: Accounting
Keywords: Inertial effects Reversal Effect News observer Disposition effect investors
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 254
Quote: 1
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Abstract


, The validity of the stock market has long been a controversial issue in the field of financial research . According to the efficient market hypothesis , market prices react to stock a variety of related information , investors will not be able to reap super profits using past price information . However , in the past twenty years , many foreign scholars Empirical Study of the Western countries, the stock market has been the unanimous conclusion that the inertial effects and reversal effect does long-term existence of the stock markets in these countries , if investors take the appropriate investment strategy you can get without the risk of excess returns. The discovery of the so-called market anomalies ( inertial effects and reverse effects ) of market efficiency theory undoubtedly posed a severe challenge . Many scholars tried to borrow the the foreign scholars empirical research methods to prove that the Chinese stock market also exists the inertia and the reversal effect . However, due to the different samples during different authentication method is selected , they get the empirical results are not consistent , even seemingly contradictory results . And such studies are rarely given appropriate theoretical model to explain their empirical results . Therefore, to further explore the inertia of the Chinese stock market and the reversal effect of in-depth analysis of the characteristics of China's stock market , as well as guiding investors ultimately make the right investment decisions of both theoretical significance have practical significance . In this paper, based on a review of relevant research literature , fully consider the characteristics of China's securities market and its participants , draw on existing theories research , build the inertia and empirical studies of the inversion effect model , Shanghai and Shenzhen , China A shares daily trading data from January 1, 2000 to 2008, 30 empirical test robustness test of the results of empirical to correct possible because the bid / ask price differences deviation , still the results are consistent with the above conclusions . The empirical results show that China's stock market is not only the existence of the mid- inertial effects but also the presence of a short-term reversal , ultra - short-term inertia effect theory predicts . Sort period held during every year inertial test proved inertia strategy to bring the excess profits from the stock expect differences in income time series .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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