Empirical Study Of Size Effect And Momentum Effect In Shanghai Stock Market

Size effect and momentum effect is the hot debate issue of China stock market. Many academics and researchers use different methods to argument if China stock market has the two effects, but conclusions are different. If Chinese stock market is efficiency and if the traditional financial theories and models are applicable in China's stock market also exist controversy in academia. National literature research methods are different and sample data used is not comprehensive enough and the time is shot, therefore the conclusions are very different. This paper uses different operating strategies to establish a different market circulation and cumulative rate of return of different investment portfolio, and studies the size effect and momentum effect in different times.Firstly, this paper summarizes the traditional financial theories and their development based on the financial operation mechanism, and presents the"size effect"and"momentum effect"of behavioral finance. Modern financial study began in the early 1950s, mainly researches how to allocate scarce resources across time under conditions of uncertainty, which contains the main representative theory: economic equilibrium theory, portfolio theory and corporate finance theory, the capital asset pricing theory, the effective market theory, options pricing theory and arbitrage pricing theory. Since the 1980s, with the deeply study of finance, a growing number of classical and modern financial theory to explain inconsistencies is exposed as a financial study of"unresolved myth". Behavioral financial mainly researches and...