Study On Evolution Of The Stock Market Reverse Effect And Momentum Effect

This paper first elaborate the research of the momentum effect and the reverse effect doing by both China and international scholars in detail and find that they only analyze the causes of the two phenomenon. Relevant empirical study focuse on which phenomenon is significantly exist during a sample period and positive attention to the appropriate trading strategy over the availability of long-lasting benefits,few consider probability of mutual evolution between the two visions.In fact, we can not only observe the two visions coexist in the same market,but also can find that the momentum effect (reversal effect)in a given sample period, while the momentum effect (reversal effect) are shown in the other sample period,which means that these two phenomena should exist probability of mutual evolution phenomenon.We establish the mutual evolutional model of these two financial visions,and consider that investors are adaptive rational. Private information convert into public information over time, and investors change their investment strategy according to the information. Investors are subject to public information,and private information-driven is cause of mutual evolution between the visions,and its evolutional law follows:the "momentum effect (reversal effect) appears less→→→enhanced reverse effect (momentum effect) appears less→→→enhanced momentum effect (reversal effect) again, Empirical results show that the Shenzhen A-share market momentum effect and a similar reversal effect does exist between the cyclical evolution, but evolution of the cycle length is not fixed, nor showed a decreasing trend.