Research On The Momentum And Momentum Collapse In China 's Growth Enterprise Market

There are two cores in traditional finance, market efficiency hypothesis and portfolio theory, portfolio theory is based on the validity of the hypothesis on the market. Financial markets Market Efficiency refers to the capital market to quickly and fully absorb the information, and finally to the extent that market prices reflect the above. But as more and more of the vision found to have the validity of traditional finance market hypothesis and presented a strong challenge, which reversed effect and momentum effect is the most powerful impact. Momentum effect is the portfolio yield trend will continue, the previous high stock returns in the future will get a high income, low income stocks in the past, will continue to decline in the future, will still get a lower rate of return. Reverse effect that yields will yield trends and past the contrary, that the previous high stock returns in the future it will get lower benefits, as contrast, previous low stock returns in the future it will get higher gains. Momentum crashes, is the Momentum and Contrarian Effects given a specific time to study the time of its occurrence, past and present market conditions, and the difference between the effect of reversing the momentum effect, is that the former is a flow concept, after who is a concept stock.This paper describes the study of the phenomenon of domestic and foreign policy, and Momentum Tactics and Momentum crashes with the latest developments, but also describes the theoretical basis of the momentum strategy and momentum crashes from the efficient market hypothesis and portfolio theory based on traditional finance, has been to conduct finance, including Momentum and Contrarian Effects and momentum in the form of a crash and sources. In this paper, the ordinal number of non-overlapping approach to monthly returns of Chinese GEM 2010.1-2015.01 consider cash dividend reinvestment studied. The study found that the GEM market short-term reversal effect, there is no short-term momentum effect, and each long-term momentum and reversal effect is not obvious, and scholars in the past similar. Momentum crashes mainly occur in significant short-term, and down from a high place in the market when the US study and Daniel, Jagannathan and Kim(2012)data contrary, but considering the negative correlation between China and the US stock market, consider this empirical The results are also consistent with the actual situation. Summary of issues studied in this paper conclusion for investors, investors can take to get excess returns of momentum strategies. Momentum strategies can reverse operation, the use of reverse effect, to obtain short-term gains reverse effect.At the same time the market fell from a height, when to pay attention to the tail risk of momentum strategies to avoid the collapse of momentum. For the construction of the GEM, proposed to strengthen supervision and improve the proportion of institutional investors, speed up and improve the delisting system establishment and improvement suggestions.