Font Size: a A A

China's A-share Market Industry Momentum Strategy Research

Posted on:2013-04-12Degree:MasterType:Thesis
Country:ChinaCandidate:K ChenFull Text:PDF
GTID:2249330395951089Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
Efficient Market Hypothesis is the fundamental theory in the interpretation of financial market efficiency, yet the discovery of Momentum in the1990s formed a direct challenge against the theory. Drawing focus on momentum would help us further understand how the financial market works and provide references for the investors along with the regulators when making investment decisions and policies.Industry momentum strategy is one particular kind of momentum strategies. Based on monthly transaction data from2000.1to2010.12, this paper implemented a preliminary research on the existence of industry momentum, the difference between industry momentum strategy and regular momentum strategy, the dominance of industry factor in the excess industry returns and the interpretation of excess industry returns. We find that:1. There is a significant momentum effect in the Chinese A-share market at mid-long term within the period of2000.1-2010.12.2. Industry momentum and the regular momentum are complementary in terms of periods when the momentum effect is significant.3. Industry factor is indeed the dominant source of industry excess return, and there is no industry concentration when implementing the strategy.4. Industry excess return can be partly explained by the Fama&French3-factor model, and the result is in close relation with the length of holding period.
Keywords/Search Tags:Industry Momentum, Momentum Effect, Fama&French
PDF Full Text Request
Related items