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The Research On The A-share Momentum Strategies And Reversal Strategies

Posted on:2015-01-02Degree:MasterType:Thesis
Country:ChinaCandidate:W J ChenFull Text:PDF
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Eighties of last century, the efficient market hypothesis can not explain abnormalphenomenon of under and excessive reaction in stock market. Behavioral finance scholars believethat investors’ cognitive biases cause under and excessive reaction, under reaction and excessivereaction lead to the momentum effect and reversal effect. The momentum effect and the reversaleffect exist in both Europe and the United States stock developed market, and the development ofthe stock market in our country. With the momentum effect and the reversal effect existing inChinese a-share market as the prerequisite, we observe gains of the traditional momentumstrategy and reversal strategy, and then explore to make improvement to the traditional methods.When we observe the benefits of the traditional momentum strategy and reversal strategy, weuse the a-share market on January1,2008to June1,2013daily transaction data and put the timeinterval in preparation of shares in Shanghai and shenzhen300index as the research object.Without considering the short selling mechanism, using the traditional momentum and reversalstrategy, formation overlap sampling method is used and the overlap sampling method is used forthe holding period, according to the size of the stock in the formation of the cumulative yieldstructure winner portfolio and loser portfolio, the income of investment strategy combinations.To improve the return of investment, I explore to improve the traditional momentum andinversion strategy. Using traditional methods to calculate the yield would rely on too much thebeginning and final price. Because of the price of shares of a single trading day more performancefor the random, so this kind of measurement method can not get the real winners or losersportfolio. To eliminate a single stock trading day’s price of the effects of random walk, this articleattempts to use statistical knowledge and K and the traditional momentum strategies and inversionstrategy combination, formed the simple method and the KNN method.The empirical conclusion: Both traditional momentum strategy and inversion strategy canget profits;At the same time holding period, monthly yield increases with the increase offormation; The profits of traditional momentum strategies is less than the reverse strategy; Withthe improving method,two kinds of enhancement method can improve the return on investmentand the effect of KNN methord is better than the traditional and simple enhancement method.
Keywords/Search Tags:traditional, momentum strategy, reversal strategy, winner portfolio, loser portfolio, K-Nearest Neighbour, enhancement
PDF Full Text Request
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