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The Inertia And Reversal Strategy Of Chinese Stock Market Based On Yield And Value Indicators

Posted on:2013-11-24Degree:MasterType:Thesis
Country:ChinaCandidate:S Z GuFull Text:PDF
GTID:2249330371978080Subject:Finance
Abstract/Summary:PDF Full Text Request
The momentum and reversal phenomenon of stock market subject to the attention of scholars since it was discovered, and become the vision of efficient market theory. The current domestic academic research on this two phenomena is still in its initial stage. There is only sporadic discussion of the cause of the two phenomena. China’s stock market is an emerging stock market, and compared with mature stock market there is a larger difference in the background, trading system, investors etc. Based on the efficient market hypothesis and behavioral finance theory and the former studies on stock market Momentum and Contrarian Strategies, we carry out research from the history of yield and value of index. First, introduce the origin and the theoretical basis of the stock market momentum and contrarian strategy research, namely the effective market theory and behavioral finance theory. Secondly, analysis the profit performance from the angle of yield, and validate the existence of the strategy. Thirdly, analysis the profit performance from the angle of value index. Definition value stock and growth stock; buying value stocks and selling growth stock, observe gains in performance based on different value index; and then use the Fama and MacBeth (1973) cross-sectional analysis method to research the causes of the differences of gains. By the CAPM model and the three factor pricing model, the article empirical analysis the income generating mechanism of value contrarian strategy from risk pricing and behavioral finance. The profitability of the momentum and contrarian strategies and the research on the intrinsic mechanism are the main content of this thesis and the point of innovation. Finally on universal existence of reversal phenomena in the Chinese stock market, give strategy thinking on constructing trades which have good prospects of gams.
Keywords/Search Tags:momentum strategy, contrarian strategy, value index, CAPM model, cross-sectional regression
PDF Full Text Request
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