Dissertation > Excellent graduate degree dissertation topics show

The Momentum and Contrarian Effect in China Stock Market

Author: WangZuo
Tutor: ZhongJianXin
School: Shanghai Jiaotong University
Course: Finance
Keywords: Momentum effect Contrarian effect Underreaction Overreaction Efficient market hypothesis
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 93
Quote: 0
Read: Download Dissertation

Abstract


In this thesis, the author tested whether Momentum or Contrarian effect exist in China A stock market, using Jegadeesh and Titman methodology, constructing a zero-cost portfolio by buying winners and selling losers. Empirical study covers Shanghai Stock Exchange and Shenzhen stock exchange A share market, duration from 1999 to 2009. The result shows on weekly, monthly and yearly frequency, many contrariance strategies generate significant contrariance prodit, indicating contrarian effect do exist in China A stock market. And in a long term contrarian profit increase with time, however, in short and intermediate term, decrease gradually, showing a mean reversal motion. The significance of contrariance effect and its time varying characterristcs rejected that China A stock market complies to Weak form Efficient Market Hypothesis. As for the possible sources contributing to Momentum or Contrariance strategies, the author using the Lo and MacKinlay methodology, tests 4 popular explanations among academic studies. The auther found that in a short term, individual stock returns show a negative own-serial correlation, indicating investors in China A stock market are overreacting to information. In a size-related lead-lag effect empirical study, the author found that stock return among different size quantiles show negative cross corelations, meaning small size stock returns and lagged large size stock returns will go in an opposite direction. This explains in the long term, contrarian profit strengthens in China A stock market.

Related Dissertations

  1. Empirical Research on Momentum Effect and Reversal Effect in China Stock Market,F224
  2. On Momentum Effect in Stock Market with Limited Rational Investor,F830.91
  3. Institutional Investors and Return Time-series Predictability of Stock,F832.51
  4. A Study on the Effectiveness of China’s Foreign Exchange Market,F224
  5. The Study on the Small Firm Effect of China Stock Market,F224
  6. Empirical Study on Stock Market in China with Fractal Market Theory,F224
  7. Empirical Study on Value Investment in China’s Stock Market,F224
  8. The Controversy between EMH and Behavioral Finance,F830
  9. Test and Analysis of the Effectiveness of Chinese Securities Market,F224
  10. Research on the Investment Strateies of Funds,F832.5
  11. Based on the efficient market hypothesis of B-share market efficiency research,F832.5
  12. Effectively market and the Capital Asset Pricing Model,F224.0
  13. Securities market the main bounded rationality behavior research,F832.51
  14. From Pair Trading to the Momentum Test,F832.51
  15. An Empirical Study of the Chinese stock market volatility based on Long Memory,F832.51
  16. The Nonlinear and Mean-reversion Characteristics of Stock Index Futures in Simulation Trading Market,F832.51
  17. Market manipulation and excessive volatility of the warrants market in China,F224
  18. An Empirical Study on Turn-of-the-month Effect and Its Window Dress Hypothesis in Chinese Stock Market,F832.51
  19. An Empirical Study on the Pricing of Call Warrants in China,F224
  20. A Test of the Martingale Difference Hypothesis for Weak Efficiency in China’s Stock Market,F832.51

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile