| In the stock market,momentum effect(or inertia effect)means that the positive correlation of the return series that the stock with good performance in the past will still be better in the future,vice versa.The arbitrage portfolio based on this effect,longing stocks with better performance and shorting stocks with poorer performance,is called as momentum strategy.As the primary effect(Fama and French,2008),momentum effect is existing all around the word while facing dispute in A stock market.Recently,more literatures proved that super short-term momentum is indeed exist in A stock market.The research about momentum in A stock market is weaken up again.Although the reversal effect is more significant and robust in academic research,the invest behavior called ‘Buying Winners' is still obviously.This phenomenon might indicate that there could be undiscovered momentum effect.With strategy analysis and regression analysis,the existence of super short-term momentum is verified,as well as the robustness test.Based on the duration of super short-term momentum effect,the different resources of super short-term momentum driven by information or not is told.In addition,the driven variables are discussed and from the perspective of T+1trading rules,short-selling limitation and growth and down limitation,the influence between policy factors and super short-term momentum is research individually.The main conclusions are as following:Firstly,the theoretical model of momentum effect is extended.Based on the structure of information investors,momentum investors,reversal investors and liquidity suppliers,heteroinvestor-model and dual-investor-model are established to research the behavior of momentum investors,reversal investors and information investors,which could prove that assets pricing might show the momentum effect with different resources.Secondly,in the A-share market,the existence of super short-term momentum effects is verified.Momentum strategies with the formation period and the holding period are both one trading day can obtain significant excess returns around 0.54%,even the actual achievable profit margin is far less than this.The formation period has a greater impact on the momentum effect,while the holding period has a smaller impact.Considering trading costs,the profit of momentum portfolio is just about 9%-10% per year.super short-term momentum is unsensitive to risk adjustment and robust.Controlling the size of companies,the heterogeneous of industry and market,and the extreme period,the super short-term momentum is still robust.Thirdly,from the study about the duration of super short-term momentum,the average duration of the momentum effect is about 22.17 trading days.Through the decomposition of the momentum effect,the greater the overconfidence,the greater the momentum effect based on information drive.The continuation of the momentum effect in the A-share market is mainly driven by public information,and private information does not drive the momentum effect of the whole strategy.Fourth,the influence of variables on the super short-term momentum is analyzed.It is positive relationship between the momentum profits and factors like illiquidity and heterogeneous beliefs.Hence,the relationship between turnover and super short-term momentum is nonlinear.Higher proportion of private information content can enlarger the profit cross-sectional momentum strategy.Using the proportion of institute investors as the poxy variable of overconfidence,the negative relationship between super short-term momentum and the proportion of institute investors is discovered.By coefficient decomposition,it is found that liquidity risk and heterogeneous beliefs could explain momentum effects strongly while overconfidence is weakest.The final research result is about the impact of constraints on different trading restrictions to momentum effect.The stronger the constraints of the T+1 trading system,the weaker the super short-term momentum effect.Stocks with higher financing ratios have lower momentum.The short-selling limit amplifies the momentum effect.The limitation of growth and down has strong impact to super short-term momentum.Through the research of the interaction between different trading systems,it is found that deleting stocks touched the up limitation,in the stocks which could be margin trading,momentum is significant.In stocks with margin trading,the relationship between the T+1trading system and the momentum effect is lower.The limitation of price has strengthened the relationship between the T+1 trading system and the momentum effect.In robustness test,serval methods are taken into consideration,like extending sample period,selecting A-H cross listed stocks,etc.The marginal contributions of this paper are as following: firstly,a trading strategy that can capture the super short-term momentum effect is conducted,and successfully captures the momentum effect in the A-share market.the profit space of the super short-term momentum effect is analyzed innovatively from the transaction cost.Controlling the classical momentum factor,the super short term momentum effect shows strong robustness.Secondly,the theory of momentum is extended.Based on the heteroinvestor-model and dual-investor-model,the existence of super short-term momentum effect is proved theoretically.Thirdly,it is found that the trading system will affect the formation of market anomalies and the interaction between different trading systems is analyzed.The relationship between trading system and market anomaly are not only the discussion of the formation of market anomaly,but also provides a new perspective for policy evaluation.Finally,some research methods of related fields are introduced.Based on the conclusions,policy recommendations are recommended as following: Firstly,improving market liquidity.Liquidity is the guarantee of market transaction.With liquidity depletion,there will be not any trade in market.The specific measures are following.Improving the efficiency of transaction matching to improve the market liquidity;reducing the transaction cost of investors to improve the market liquidity;optimizing the structure of listed companies,implementing the delisting policy,and actively guiding the transfer and delisting of stocks with weak liquidity.Secondly,strengthening the guidance and education of investors.As market participants,investors play an important role in asset pricing.The purpose of strengthening investor education is to restrain the over-speculation.Specific measures can be taken from three angles: increasing the proportion of institutional investors;strengthen the education of individual investors with the construction of professional investor education institutions;strengthening the communication among investors and realize the full exchange of opinions with the network platform.Thirdly,optimizing the market trading system and weakening trading restrictions.The number of securities lending stocks should be increased;the types of securities lending stocks should be enriched;the threshold and implementation costs also should be considered into reduced.Relaxing the range of price limits and adopting more flexible hierarchical price limits.Adjusting the current T + 1 trading system.Rethink the policy from the perspective of market.The conflict between efficient market and market anomaly has existed for a long time,but the relationship between policy system and market anomaly may provide a new perspective for policy evaluation.Fourth,promoting the opening of the capital market and the internationalization of the capital market.The internationalization of capital market is consisting of the internationalization of investors,system construction and financial supervision.The internationalization of capital market needs to strengthen the connection between markets and weaken the trade barriers.Through programs like the Shanghai-Hongkong Stock Connect,and Shanghai-London Stock Connect to strengthen the connectivity between the markets.Internationalization also means that China is gradually speaking in its own voice in the capital market and gaining greater influence. |
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