Research On The Momentum Effect Of China Stock Market

With the development of finance, anomalies emerge on the finance market,these anomalies are at odds with the traditional financial theory, momentum is oneof them. Present researches on this field mainly focus on two aspects. One aspect isthe study of the existence of momentum. Another aspect aims to race the origin ofmomentum return from both traditional and behavioral finance theory aspects. Thispaper focuses on the existence of the momentum effect in China stock market,hoping to find the rule of return movement and provide suggestions to investors.This paper analysis the momentum effect from both intraday and non-intradayperspective. Specifically, the intraday momentum explores the rule of stock marketreturn series during intraday period. By establish the empirical model this paper firstanalysis the intraday momentum in different trading period, and then from differenttype of information. While non-intraday return study the momentum in non-intradaytime, this paper builds portfolio to study one demission and two demissionmomentum effect. The main findings of this paper are as follows: Firstly, there isintraday momentum effect in China stock market. The intraday momentum effectshow different features during different trading period. and when the overnightreturn is positive, the power of momentum is significant, when the overnight returnis negative there is no intraday momentum effect. Meanwhile this paper alsoanalysis the one demission non-intraday momentum under the inner market impactand outer policy shock. Otherwise two demission momentum shows that the pricemomentum is significant longer than three years, volume momentum is obviouswithin a year.This paper analysis the efficiency of China stock market academically. inaddition, the finding of intraday momentum effect provide the suggestion abouttiming choosing, while the non-intraday momentum effect suggest that investors canearn the return by buiding invest potfolio.