Research On The Growth Enterprise Market Momentum And Contrarian

In the financial field of study, the effectiveness of the stock market has been morethan a controversy. The Efficient Markets Hypothesis account that the securitiesprices in the stock market has been timely and adequate response involved all theinformation related to listed companies, so investors can not get excess return throughuse past market information and technical analysis. But since the eighties of the lastcentury, more and more empirical results show there is a "vision" in the stock market,the typical vision is price related to past yield Momentum Effect and Reverse effect.Momentum effect refers to the yield of the stock trend continuation of the originaldirection of motion, that is, over a period of time higher-yielding stocks yield wasobtained in the future will be higher than the yield lower stock. Reversal effect refersto a past period of time yields relatively low stock some time in the future there willbe a substantial reversal in the trend rate of return higher than the past relatively highyield stock. Momentum effects and Reverse effect of the stock price was found at thesame time produce inertial investment strategy and contrarian strategies in these twoimportant investment strategy. This self-related phenomena of stock price have beenfound in many foreign countries, and proved in the stock market, meanwhileconcerned by more and more scholars, this is a serious challenge of market efficiencytheory.The attention of momentum effects and reverse effects of domestic scholars havebeen gradually improved in the last ten years, but the most study of these by domesticscholars are in the motherboard market, small plates market, but does China’s GEMmarket exist price momentum and reversal? Can investors take momentum investmentstrategies and reversal strategies in profitability feasible? these issues are to be studied.This paper first introduces the research results of the momentum effects and reverseeffects at home and abroad, and then recalled as the standard finance theory systembased on the efficient market hypothesis, and the financial markets can not beexplained by the theory of vision-momentum and reverse introduced, and itsformation mechanism based on behavioral finance theory corresponding explanation,followed by the weekly trading data from January1st2010to December312012ofthe GEM Listing stock, the price of the GEM inertia and price The existence of theinversion phenomenon has been studied, this study found that the whole, China’sGEM market exists reversal effect in the short-term, in the long-term momentumeffects and reverse effects does not exist. As for this result, the explanation from the specific characteristics of the GEM market in China as a starting point, from theimperfect market structure, the market is too high speculative investors, institutionsand quality to explain, and then draw on behavioral finance in Hong and Stein HSmodel analysis of the empirical results, we think the GEM now in the early stages ofdevelopment, the limited market capacity of the special institutional investors to shortthe market result in ordinary momentum investors to follow the strategy, as well asthe market short-term reversal effect.