| As the most important anomaly to the Efficient Market Hypothesis, momentum effect is one of the most serious challenges to the traditional risk-based asset pricing paradigm. The persistence of intermediate-term momentum returns throughout the last several decades becomes hot topic recently and attracts widespread attention through out the academic community and the investment community.In the Chinese stock market, the experienced stock investor may realize investing behavior shows the characters of " pursues rises kills falls " and " seeks the village with the village ".The momentum characteristic of the market fluctuation also displays " together rises together falls", "the tectonic plate wheel moves " and "strong permanent is strong permanently, the weakness is weak " the momentum.Obviously , the investor's direct-viewing feeling and the most researchers' experience conclusion is contradictory. This kind of contradiction urges us to analyze further the questions which have existed in the previous tests. Through more than 20 related literature published in recently five years carefully studying, we discovered more problems existing. Main question is, nearly all experience analysis all mechanically imitates Jegadeesh and Titman's (1993) method, has not considered undulation characteristic of the Chinese stock market. For example, it uses the direct copy method to choose the time length of forming and holding. It is well known, the American stock market performance is " the bull is long bear is short", but the Chinese stock market performance is " the bull is short bear is long ", two markets have the extremely great difference. This article considers the undulation characteristic of Chinese stock market, according to the market company's several kind of characteristics (for instance stock price level, company scale and so on) carries on the classification to stocks, and carries on the momentum effect examination, that is to say, examines whether... |
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