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An Empirical Study On Momentum Effect And Reversal Effect Of Object Of Margin Trading And Securities Lending In China’s Stock Market

Posted on:2016-03-16Degree:MasterType:Thesis
Country:ChinaCandidate:K FangFull Text:PDF
GTID:2309330479950217Subject:Applied Economics
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Traditional finance was developed in the efficient market hypothesis(EMH) and the capital asset pricing model(CAPM) and researchers have made a lot of perfect financial theory. A growing number of anomalies were appeared in the financial markets and these anomalies were not explained by traditional financial theory. This leaded to the emergence of a new subject which was named behavioral finance which was combined psychology, behavioral science, and finance. Behavioral finance attempted to explain the anomalies in the financial market on the base of irrational people.China’s securities market was established more than twenty years, and it developed rapid in these years. However, there are many problems simultaneously. For example, the market system construction was lagged, the market was intervened significantly by the government and incomplete trading system etc.. Governors were also aware of the defect in the stock market during the operation. They strived to build a stock market meeting the China’s national conditions. Margin trading system is one of the measures which makes China’s A-share market from the previous single market to the two-sided market. It is a new milestone in the development process of China’s securities market.Momentum and reversal are two anomalies in financial markets. Behavioral finance researchers focus on these phenomena. In this paper, the stocks of margin trading and securities lending were the research objects, and they were divided into two sections to empirical analyze, one section was from March 31, 2010 to December 31,2014, another was from December 5, 2011 to December 31, 2014. The existence of momentum and reversal effect will be examined, and it causes was analyzed. We propose appropriate responses to these reasons and make investment advice for margin investors.The framework of this paper as follows,The Chapter 1 explains the basis and significance of this study, states the advance of this study, and raises the research mentality, the framework, the innovation and shortcomings.The Chapter 2 introduces the basic theory which was divided into modern financial theory and behavioral finance theory. The prospect theory, non-validity of market research, study of individual behavior and the main theoretical models are expounded.The Chapter 3 outlines the development of China’s stock market history, current situation and problems.The Chapter 4 focused on China’s stock market in the margin trading system’s generation, development and the status.The Chapter 5 empirical analyzes the stock market margin momentum and reversal effect and test its existence.The Chapter 6 analyzes the subject of margin trading momentum and reversal effect from the macro and micro level causes.The Chapter 7 makes relevant suggestions to optimize the stock market management mechanisms and investors investment strategies.The Chapter 8 is this paper’s summary and research prospects.
Keywords/Search Tags:the stocks of margin trading and securities lending, momentum effect, reversal effect
PDF Full Text Request
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