| Behavioral Finance Theory is new research hotness in the field of finance, which investigates the relationship between irrational behaviors and the performance of stock market. The research conclusions mostly come from mature markets, such as America. But irrational behaviors should have much greater influence on the performance in emerging markets, such as China. In addition, with the maturity of Securities Law, the tradition measures to get excess profits have become ineffective in China stock market. The potent investment strategies become much more important to investors. Going on these premises, researches on the validity of momentum strategies and contrarian strategies and performance of these strategies, in China stock market, are very urgent.This paper first introduces the discussion among efficiency of the market and some financial anomalies, especially based on under-reaction and over-reaction. Then we summarize the studies on it. Second, we examine whether the momentum strategies and contrarian strategies can create significant profits under different formulation horizons and holding horizons by using the month exchange data,since 1996.1 to 2004.6. Then, we make a quality discuss of the reasons for the significant profits of strategies. In the end,with improved the evaluation of investment strategies model and the evaluation of performance model, we study whether the investment strategies of 15 open-ended funds in China are momentum strategies or contrarian strategies since 2003.1 to 2005.6 and which strategies can create better investment performance. The main conclusions are as follows:First, we find the contrarian strategies are more successful in China as a whole and the character of China stock market play a very important role. Second, we find that open-ended funds prefer the momentum strategies basing on the recent profit of holding stocks, but prefer the contrarian strategies basing on the past profit. |
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