An Empirical Study Of Industry Momentum Effect In China’s A-share Market

According weak efficient market hypothesis, investors can not rely on historical price trends of securities analysis to obtain excess returns, so technical analysis is invalid. But academics at home and abroad through empirical studies have found that in most countries’stock market, the stock price has an obvious trend, which means momentum effect is widespread. According to the momentum effect, investors can take advantage of momentum trading strategies to obtain excess returns, ie buying shares which outstanding performance during the observation period to build a "winners", selling shares which poor performance during the observation period to build a "losers". As a financial vision, momentum effect is a very serious challenge of the traditional financial asset pricing theory.Industry momentum effect is a certain trend, according to industry sector index calculated yield, ie the historical outstanding performance of the industry will continue to maintain a high rate of return over the next period of time, and historical poor performance of the industry will continue to maintain the low yields over the next period of time. If the industry momentum effect exists, it is possible to build industry momentum trading strategy by holding a "winners" and "losers ", in order to obtain excess returns."Chase Sell" is a widespread phenomenon in China’s stock market,the overall market showed obvious industry wheeling. For this reason, we try to research industry momentum effect in China’s stock market. Unlike Europe and other mature financial markets, China’s stock market is still in its early stages of development, it has its own uniqueness, such as a relatively short development history, more obvious speculative, short of effective mechanisms and inadequate supervision and so on.Although in recent years many Chinese scholars have begun to study momentum effect of China’s stock market and has made a lot of remarkable achievements, but the scope of these studies is relatively narrower, research tools and content are not perfect enough and with regard to industry momentum effect is still relatively scarce.On the basis of domestic and foreign research, we analyzed the industry index week yield data of China stock market from January 2006 to January 2014 by using industry momentum trading strategy and get the best momentum trading strategies.