An Empirical Test On The Momentum/Contrarian Strategy In Ouantitative Hedge

Based on the full sample data of Shanghai and Shenzhen A share market from 2011/01/04 to 2014/03/31, this paper tries to check if the momentum effect or contrarian effect really exist in China A share market according to the classical documents. We also want to figure out if the momentum/contrarian strategy offers extra yield in the quantitative hedge.To improve the model, we combine fundamental research strategy, momentum/contrarian strategy and timing strategy in the process of stock-selection.The empirical evidence shows that the contrarian effect is confirmed in the year 2011 and 2012, while momentum effect is well observed in the year 2013.The momentum/contrarian strategy can offer significant extra yield from the year 2013. The combined strategy can smooth the yield.