An Analysis Of Momentum Strategies In Shareholder Structure Reform Of China

Chinese stock market is developing,but the stock market has many dissatisfied things,it must be perfected. Many stock market anomalies have emerged vastly,and effected the stock market.Especially our stock market is experiencing an unprecedented reform,it is necessary to research the reform that it will change the ownership of a share.It can be found if the stock market will be effected by the change.Many scholars have studied the momentum strategies in our stock market.This paper combines the reform with the momentum strategies, it tries to investigate how the change effects the stock market .The paper analyzes the relativity of past rate of return and current rate of return with Least squares,ordinary.In the experimental research horizontal contrast method and lengthways contrast method are used.And in the paper the stock market is classified into two parts before January of 2006.The stock in one partion has been changed,the stock in the other partion has not been changed.Then the paper contrasts the two stock before the experimental unit project has been announced and after it has been announced.At last the paper distincts the stock by the amount that it has been sent to the stockholder .Through the experimental research it is concluded that our stock market has emerged the momentum strategies in the short date.And we should take the measure to treat the phenomenon.