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The Empirical Research Of Momentum Strategy, Contrarian Strategy In China Stock Market

Posted on:2006-11-21Degree:MasterType:Thesis
Country:ChinaCandidate:S N ShangFull Text:PDF
GTID:2179360182995860Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
Foreign scholars find that there are lots of anomalies which can not be rationally explained by standard financial theories. Behavioral financial theories catch this opportunity and give the anomalies reasonable explanations, which cause the new theory popular in western countries.Behavioral financial theories combine psychology with financial theories. It holds the point that investors are irrational, and they have varieties of recognitions bias. As we all know, china stock market only has the history of about fifteen years. Investors in china are speculators, and they don' t have mature investment ideas, which results that they are liable for recognitions bias. For the reason above, we believe that put behavioral financial theories in Chinese conditions is a correct direction.In this paper, we first introduce the anomalies which cann' t be explained by standard financial theories. Second, we discuss the recognition bias, theory model, investment strategies of behavioral financial theories. Third, in this paper, we test the validity. of momentum strategies, contrarian strategies. But to our surprise, these two strategies which earn high extra profits didn' t work well in china stock market. Finally, I analyze the reason of the fault of these strategies, which is caused by too much risk and high fluctuation. China stock markets have several special characteristics, as: (1) The existence of non circulating stocks, which is a block to china stock markets. (2) In china stock markets, the phenomenon of rich investors controlling stock prices is very popular. (3)China stock markets is famous for its changes with policies. (4) Many noise traders exist in the market.
Keywords/Search Tags:standard financial theories, behavioral financial theories, momentum strategies, contrarian strategie
PDF Full Text Request
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