Research On The Quantitative Investment Strategy Of The A Stock Market Based On Momentum Effect

Momentum Effect is one of the important discoveries of Western financial economics since the 90 s of last century, researchers have studied broadly and enriched the connotation of this theory. It is now one of the major investment metrics used by foreign investment agencies.In recent years, research on the momentum effect in the country also comes forth, for the effect of the degree of presence in the Chinese capital market, especially the A stock market were discussed, analyzed and verified in different dimensions. However, such studies have mostly been done in empirical purpose, the momentum effect is rarely applied to the actual investment strategy research.The objective of this study is to explore a set of workable investment strategies based on momentum effect. This strategy expects to achieve significant gains ahead of the average performance and have the practical operability. Quantization, as an important analytical tool, which has become an important part of this study, and therefore quantification investment strategy is the research goal.In this research, the discovery, principle and theory explanation of momentum effect are firstly introduced, followed by some domestic researches on momentum effect. As the final investment strategies related to the quantitative investment philosophy, a conceptual introduction on the quantitative investment are also made. Before exploring the investment strategy, investment targets shall be set first. In this study, the momentum effects of the whole A stock market is demonstrated. It is found that the overall momentum effect is not obvious, so the idea is converted to focus on the A stock blocks. Through the demonstration, it is found that the momentum effect presents obviously in some blocks. Therefore this researches continues to explore how to identify the blocks with effective momentum effect, and how to setup sector investment strategy. Based on the above, this researches continue to study how to replace the block with the equity portfolio and realize to demonstrate fund indexation method. This study concludes that the momentum effect has the potential in the investment strategy on A stock blocks.