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An Empirical Study Of China’s Momentum And Reversal Effects In Short Middle And Long Term

Posted on:2015-01-09Degree:MasterType:Thesis
Country:ChinaCandidate:Y LiFull Text:PDF
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With the development of the capital market, the market can not continue to find the attention caused by the classical economists finance theory to explain the vision, behavioral finance is in the challenge to the traditional financial theory and questioned quietly rising in the background. And momentum stocks reverse effect is a major achievement of behavioral finance research, the momentum effect refers to the next higher income before equity in strong stocks previously disadvantaged; reversal effect refers to a strong future earnings before the stock low on vulnerable stocks. Although there have been numerous domestic and foreign literature to study this phenomenon, but for China’s stock market, previous studies also seem insufficient, so this article once again decided to further explore this important issue.This paper first describes the vision and the development of behavioral finance market, focusing on empirical and theoretical perspective on the current interpretation of research results and reverse the momentum effect at home and abroad; Secondly, the use of empirical methods, respectively, from the short, medium and long-term test of the China’s stock market and the existence of momentum inversion phenomenon, finally, from a theoretical point of view to explain the source of our revenue momentum and reversal, and for the market momentum and reversal phenomena characteristic of A shares to make a reasonable explanation. The results showed that, first, China’s A-share market momentum and there is an obvious inversion phenomenon. In the short term (1-2 weeks) found a significant price reversal phenomenon, in the medium term (1-12 months) also found that the phenomenon of momentum and reversal in the long-term (1-3 years) found a very significant reversal phenomenon. Second, momentum and reversal effects in China’s stock market has reversed a high income, reverse effect was stronger than the momentum effect characteristics. Third, we find that the winner loser portfolio risk difference was not the main factor and reverse gains momentum, so the classical finance theory can not fully explain the momentum and reversed gains, but from the perspective of behavioral finance, the use of HS model and momentum of the life cycle theory can explain the source of China’s relatively good earnings momentum and reversal.The main innovation of this paper from the two, the first point in the long-term and short-term empirical factors are used in more division winners losers portfolio to expect to find the most effective way of classifying; second point is fully integrated herein Chinese stock market the reality of the situation, the first use of "observer concept" and "concept followers" theory to explain the medium-term reversal effect was stronger than the momentum effect of the phenomenon,explained more in line with the status quo compared to other Chinese stock market, more persuasive.
Keywords/Search Tags:behavioral finance, security price, Reverse effect, Momentum Effect
PDF Full Text Request
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