Combined with the efforts of the research of the momentum effect and the development of Chinese stock market, this article focused on three topics:1. we made an improved Momentum Investment Strategy, by adding some new parameters and new policies,2. we tested the efforts of the improved Momentum Investment Strategy,3. under the Efficient Markets Hypothesis(EMH), we analyzed the effect of the Reform of Non-tradable Shares.We studied the effects of the improved momentum strategy, using SSE50 Index between 2004-1-1 and 2009-12-31.Finally, we give some suggestions for the future development. |