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The Test About China Stock Marketsí Reversal Effects And Momentum Effects

Posted on:2017-08-16Degree:MasterType:Thesis
Country:ChinaCandidate:C ZhangFull Text:PDF
GTID:2349330485960085Subject:Business management
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There is a long-term debate whether stock price will recover to its average after having been undulated by certain event. Regarding to traditional event test methods havenít reached an agreement yet, SETAR model is applied in this paper to identify events, negating traditional fixed threshold test method. This thesis examined if there were reversal effects and momentum effects under different positive events and negative events, whose attributes were defined in advance.The reversal effects and momentum effects about monthly stock returns and weekly stock returns has gained a lot of work, the conclusion almost the same.But the fluctuation characteristics of dayly stock returns has rarely been researched, and the researchers involved related conclusions are not consistent. Based on January 1,1993 to December 31,2015, the Shanghai and Shenzhen listed companies as samples, filtered according to certain conditions, at the same time every two years as the sample interval to estimate the threshold, the following year is used to test the reversal effects and momentum effects.The empirical study shows that the reactions of stock market to positive events and negative events are asymmetric. Specifically, positive events demonstrate significant reversal effect on third trading day after occurrence, while negative events show significant momentum effect and lasting for quite some time. With regards to connections between market reaction and factors, such as scale/MB ratio/trading volume, there are no consistent and significant features. The reaction mechanism lies in the stock market itself rather than characteristics of corporation level.Results of this study have important regardless of reference for theorists or practitioners. In theory, the impact of stock after the event, the date of return has significant predictability, combined with monthly yield and weakly earnings of event characteristics, indicating the efficient market theory, at least in China, there are still some limitations apply, stock pricing process should be attention to the impact of events. An important complement addition, the paper SETAR model for identifying events, event can be a research tool. Practitioners, large institutional investors can follow the course of the study in this paper, the use of SETAR model stock shock wave moving events were more scientific and robust characterization, and application of research investment strategy also has important value and significance.
Keywords/Search Tags:events reaction, SETAR model, threshold, reversal effects, momentum effects
PDF Full Text Request
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