Research On Momentum Effect Of Chinese A - Share Market

China’s securities market to foreign markets continue to learn in 20 years of development, the domestic market will gradually build a standardized, innovative force in international investment and financing platform. In this process, the strength of the stock market would be enhanced to strengthen the transparency of the market. At the same time, the market there have been some foreign markets like the knowledge of modern finance can not fully explain "anomalies." For example, a small firm effect, earnings effect, the January effect and momentum effects. Faced with many "anomalies", scholars have studied different aspects.For the stock price momentum phenomenon, and traditional finance and behavioral finance have recognized the existence of this anomaly in the market. Current academic discussion momentum effect mainly on momentum effect exists is checked, and the use of various types of asset pricing models and abnormal return behavioral finance theory to explain it brings.This paper studies China’s A share market momentum effect mainly in two ways: the first will be the industry momentum effect and comparative study of the stocks momentum effect, consider two momentum effect exists and that there are differences, and analysis of individual stocks within the industry momentum effect, consider whether industry factors affecting the stocks momentum effect reasons. The second reason for the momentum effect explaining the anchoring effect and attention to theory and the theory of the feedback loop, hoping to identify the impact of over-reaction from other aspects and causes of inadequate response, and then to explain the momentum effect.We find that, in January 2007 to January 2014 this time, industry momentum effect based on empirical SW level industry index of the view that the industry there is a weekly inspection cycle of short-term(1-5 weeks) the momentum effect, the market stocks also considered to be short-term(2-12 weeks) the momentum effect, and we find that, abnormal returns industry momentum strategies have obtained is regressive, that is, over a longer time reversal of the phenomenon, the same abnormal return is diminishing, it will show a reversed longer. Through the real estate industry and the biopharmaceutical industry stocks momentum effect test, the paper industry factors may be considered one of the causes of stocks momentum effect. Meanwhile, the paper argues that the momentum effect can be explained using the anchoring effect and note theory and the feedback theory.