The Momentums In A-shares And The Strategies

Since DeBondt and Jegadeesh documented the existence of momentum or contrarian effect, researchers, who attribute momentum effect as a result of cognitive bias or overreaction, built a series of model to analysis this effect based on behavioral finance theory. As an emerging market, Chinese stock market offers opportunities to the investor making profits by using a momentum strategy for the existence of momentum effect. I'm trying to find the proof of existence of momentum effect in A-Share market by different methods in this paper. The results of tests show that there are momentums in A-Share definitely, but there are also some differences between the A-Share and Oversea stock market. What's more, the results also show the existence of momentums either in the different industry or in different style group. It's also concluding several strategies based on the momentums in this paper.