Study On The Style Phenomena In A-share Stock Market

The research shows that the market style has a great impact on the securities investment,and it is more obvious in the A-share stock market.Market style is usually for stock portfolios,when a stock portfolio is known as having a certain style,the stocks in the portfolio usually have a common attribute,which makes these stocks have strong correlation and are different from the other stocks.Generally,market style comes from more basic company characteristics rather than industry characteristics,such as value,growth and so on,these characteristics are also called stylistic factors.Market style has a great influence on securities investment,but there is not much research on market style in China at present.In view of this,the paper makes a comprehensive empirical study on some important market style phenomena in A-share market,which include style momentum,style rotation,style strategies and style influence on investment strategies.Firstly,the paper studies the style momentum effect,then studies the individual momentum effect and industry momentum effect for comparison with the style momentum effect,and further explore the relationship between individual momentum,style momentum and industry momentum.Secondly,the paper studies the style rotation based on the style momentum research,and gives the theoretical explanation of the formation mechanism of style rotation,and further gives the reasons for the formation of style momentum.Thirdly,according to the research conclusions of style momentum and style rotation,some quantitative investment strategy models are constructed,and the strategies evaluation is carried out.Finally,the paper further expands the research scope of market style,we expand the range of style factors,mainly focusing on Smart Beta strategies,and then we observe the influence of market style on investment strategies,mainly analyzing the influence of market style on market neutral strategies.The paper finds that the A-share market has obvious style momentum effect,especially in the daily cycle level and weekly cycle level;individual momentum effect is weaker than style momentum,individual momentum effect only exists in the very short term;industry momentum effect is more significant than both of style momentum effect and individual momentum effect.The paper also finds that the three kinds of momentum effects in A-share market show a trend of gradual enhancement;three types of factors,that is,price,style and industry,which are corresponding to the three types of momentum,reflect the different properties of the stocks;the depth of the stock attributes and the impact on the stock return reflected by these factors are gradually enhanced,which cause different performance of three kinds of momentum effects;A-share market has significant individual reverse effect,style momentum effect and industry momentum effect,and there is also a clear law relationship between the three,it fully shows that the A-share market is not an efficient market.The paper finds that the style rotation is a general phenomenon in the A-share market;the cyclical changes of the pricing factors such as capital cost,risk premium and performance growth rate are the fundamental causes for the formation of the style rotation;the continuous change of macro environment and pricing factors,and with the investors' adaptive expectations,lead to the persistence of style characteristics in the short and medium term,resulting in the so-called style momentum effect.By using the research conclusions about sylte momentum and sylte rotation,several quantitative investment models are designed and evaluated in this paper.The paper finds that,based on the conclusions about momentum effects and sylte rotation obtained in this study,we can indeed devise efficient quantitative investment models,which also confirms the objectivity of the research conclusions found in this paper.The paper finds that Smart Beta strategies have better performance based on the historical data,and the better performance comes from exposure to specific style factors.The paper further finds that,the Smart Beta strategies have potential risks in China's A-share market in consideration of A-share's special market structure and the developing stage,and there is a great uncertainty about whether the Smart Beta strategies can win the benchmark indexes in the future.The paper also finds that the market-neutral strategy hedge funds performance advantage is obvious;and most market-neutral strategy funds are exposed to market risk;the alpha strategy funds also have obvious style factor exposure;alpha strategic funds are highly related to market style factors,because the current effective hedging tools are still insufficient,and the Shanghai and Shenzhen 300 stock index future as hedging tools is widely used;when the market style prefers to small cap stocks or growing stocks,the strategy will perform better;on the contrary,when the market style turns to large cap stocks or value stocks,the strategy will be risky.The conclusions of this paper,not only effectively fill the blank in related academic research,but also has a high reference value for investors,and it also provides important empirical support for the regulatory authorities to carry out targeted supervision.