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The Reversal Strategy In China’s Stock Market Based On The View Of Trading Volume

Posted on:2017-02-09Degree:MasterType:Thesis
Country:ChinaCandidate:F G YuanFull Text:PDF
GTID:2309330482973466Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
The efficient market hypothesis thinks that price have reflected of all the information accurately and efficiently. No one can get exceeded profits according to the public information. However, whether the practical or academic circles, they all find the chance to get exceeded returns, they all be called market anomalies. Among these, reversal and momentum effect are the most attracting problem.The study finds that there is a significant price reversal effect in A stock market in our country. The inefficiency of the market make the technical analysis to be possible. In the practical, we not only pay attention to the price, we but also emphasize the importance of the change of the volume. Price and volume are the most important indicator in the technical analysis. On the research of the volume, investors can understand the microstructure of the market. according to the research of the volume,we also can understand the market more deeper. In the earlier study of the momentum and reversal effects of A stock market, they have consider to introduce the volume to the strategy of momentum and reverse effect. But the earlier study pay more attention to the absolute value of the exchange rate, but lose sign of the importance of the relative variation. This is the innovation of my paper. Considering that the different ratio of the first stockholder, I think that the relative change is better than the absolute change of the exchange rate. In technical analysis, the more recent the volume, the more important it is. I think it include more information about the future price.So in this paper we use the LWMA method which can make the trend expressed quickly. After data processing, we get the include that introduce the volume can not only raise the value of the a and sharpe-ratio,they can also make the reverse strategy more apparent. This is also explain that the investor mood is transferred to price though the change of the volume.
Keywords/Search Tags:price reversal, momentum, Fama-French three-factor model
PDF Full Text Request
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