| As the main force in China capital market, the Security Investment Fund has professional study team, a variety of analytic tools and strong capital support. Therefore, the stocks held by fund have been observed by general investors, and furthermore, the Weight Stock Portfolio which is published quarterly by Security Investment Fund has been the important reference quota when general investors buy or sell stocks.On the study of financial market, underreaction and overreaction are the main issues linked to the market efficiency, predict of price trend, momentum and contrarian phenomena. The existence of underreaction and overreaction directly connects with the Efficient Market Hypothesis as well as whether the investors can arbitrage by using of momentum and contrarian investment strategies. Therefore, the study has academic significance and operational value.This paper centers on the behavioral investment strategy of the top ten weight stock held by open-ended fund. Firstly, it defines the underreaction and overreaction and reviews the related literature. Then it introduces the momentum investment strategy and contrarian investment strategy. Secondly, it adopts Jegadeesh and Titman's overlapping method to study the top ten weight stock held by open-ended fund. The study can be divided into two parts. In the first part, it just takes the return into consideration. In the second part, it adds the stock's state factors which include trading volume, price, capital size, BM and PE. The empirical study turns out the momentum effect exists in the capital market just when the holding period is half a year. On the other condition, the statistic is not significant and so the momentum strategy can not earn the money significantly. While considering the stock's state factor, it proves the general investors can earn the money significantly by using the momentum investment strategy. Finally, it analyzes the empirical result and brings forward the proposal.
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