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Study The Momentum Strategy Baseed On Conditional Value At Risk In China Stock Market

Posted on:2011-02-09Degree:MasterType:Thesis
Country:ChinaCandidate:W Q WangFull Text:PDF
GTID:2219330338466822Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
Behavioral finance theory holds that inertia effect is that the past higher stock returns continue to be higher returns, the past lower stock returns continue to lower returns, while the reversal effect is that the past higher stock returns will change the trend of the last period and may get higher return.Inertial effect means that the stock market is under-reaction, while the reversal effect means that stock market is over-reaction.Although China's stock market has made great achievements in the past 20 years, its the market structure and market regulation has still many problems in comparison with the developed market. China's stock market is investing single species, and relatively few institutional investors and more individual investors buying and selling in short-term. Stock markets, which lack individuality, is evident in the rise of fall or plate effects. The quality of information disclosure of listed companies is not high, and it has the characteristics of a policy market. As a result, these characteristics of China's stock market will have great impact on the behavior of investors. Although the factors affecting the value of equity investments is very complex, an investor or institutional investors should objectively evaluate the risk of each security, profitability, liquidity and the timing of every kind of securities, assess and find securities investment value to make scientific investment decisions. Based on this, this paper makes further study on the momentum effect and reversal effect in China's stock market.This paper examine alternative criteria on a sample of 412 China's Shanghai and Shenzhen A-share market from January 1,2004 to December 31,2009,302 weeks transaction data. Different from previous national research, this paper constructed winners and losers Portfolio with reward-risk, such as the ACR (average cumulative excess returns ratio), the MIR(modified information ratio) the GIR(generalized information ratio)and GSTARR(generalized stable-tail adjusted return ratio).The main results are that there is a significant reversal effect in Chinese stock market, whose is a positive correlation with the formation of momentum strategy and a negative correlation with the holding period of its. In other words, the longer the formation of momentum strategies portfolio, he greater the return; The shorter holding period, the smaller the return. In this paper, we examined the normality of momentum strategy portfolio and found that the most are the 5% level significantly. In the four criteria, portfolio strategy based on the average accumulated excess ratio obtained the highest yield and greatest risk, Selection Index GIR and GSTARR based on VaR and CVaR can indeed achieve the risk measure, GSTARR is the best in accessing best risk-adjusted returns, GIR second.Finally, this paper explains China's stock market reversal effect with the market environment and cognitive and behavioral deviations from the investors in the theoretical explanation.
Keywords/Search Tags:Momentum strategy, Reward-risk stock selection criteria, Generalized information ratio, Generalized stable-tail Adjusted Return Ratio
PDF Full Text Request
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