The Domestic Stock Market Investment Period And Reverse Investment, Momentum Trading Strategy Empirical Research

Many stock market anomalies have emerged vastly in the stock market, and shaken the basis of classical efficient market theory radically, but modem financial theory cannot irrationally interpret them. To these anomalies, the new theory -- behavioral finance, combined human psychology and behavior into the framework,, can give us some more convincing explanations than before from a totally different perspective. Especially in China, our stock market is not efficient yet, so it also sheds light upon the investing strategies for the institutional &individual investors of China. Among the behavioral finance strategies, contrarian investment strategy (CIS) and momentum trading strategy (MTS) are most usually and profitability.Trend of the market price long-term or short-term reversal give the CIS investors arbitrage profitability. And the market's overreaction is adjusted by the way that buying past losers and selling past winners. Momentum trading strategy is started from the return continuation research of intermediate horizon. It illustrate that stock price of intermediate horizon have momentum effect that maybe continuable move to a same direction. They both can get a positive profit in different periods.In this paper, we investigate the profitability of CIS&MTS of China financial market based on real-world investor behavior case study. And the simple period is divided into two autocorrelation parts, then verify whether there are changing in the profitability and market's efficiency. The source of the profitability is decomposed to guide investment in the future.