Font Size: a A A

The Behavioral Research On The Price Momentum And The Price Reversal

Posted on:2013-03-21Degree:MasterType:Thesis
Country:ChinaCandidate:Y DingFull Text:PDF
Abstract/Summary:PDF Full Text Request
In recent years, China is growing sustainly and rapidly, with the improvement ofpeople’s living standards. People gradually increase their awareness of investment, forexample, stock market development is very rapid. Stock market not only can supplymoney, but also an effective chanel for corporate finance. Enterprises increase their sizesor improve their capital structures, while investors investing on the stock market for themaximum excessive returns.Price momentum is a continuous trend of the stock price.When the stock pricevarieties, it tends to continue in a later period with the days of ups and downs. Foreignscholars have affirmed the role of the information conveyed by the momentum price.Based on the Chinese stock market, this paper investigated the behavioral pattern oftrading volume and short-horizon price.In this study, we choose100stocks on Shanghai and Shenzhen markets from2006to2010. In the hypothesis of short mechanism, we use the idea of Lo and Mackinlay in1990.The results are that there exists the Chinese stock market price momentum and short-termprice the reversal the phenomenon and high-volume winner portfolio and low-volumeloser portfolio may be shown price reversal, while low-volume loser portfolio andhigh-volume portfolio may be shown price momentum. In the following section we usethe DHS theory and HS theory, constructed Fama and French three-factor regressionmodel and Dimson market regression model to make empirical study, we come to theconclusion that the behavior of these two models did not well explain the behavioralexplanations of trading volume and short-horizon price patterns. Finally, we use theMomentum Life Cycle to explain the behavioral pattern of trading volume andshort-horizon price in Chinese’s market. The results are that Chinese stock market couldbe well explained by the momentum cycle life theory, the cycle is: low-volume loser,high-volume loser,high-volume winner,low-volume winner.
Keywords/Search Tags:Trading volume, Price momentum, Price reversal, Momentum Life Cycle
PDF Full Text Request
Related items