Optimal Shares Holding Period Empirical Research Base On Chinese Stock Market

Individual investors' investing behavior is a rapid and highlight area of the investment and financial study in recent years. Lots of studies show that too often transactions is the main factor which lead individual stock holders to loss their profit because of big amount of transaction fees. At same time, some studies give another conclusion that long-term holding a stock still reduce the earning for the volatility of stock market. This paper will discuss that if too long or too short stock holding period counts against investors' earning, does there any optimal share holding period exist which make investors maximize their profit?Individual investors always simultaneously have some different characters come from the research area of Traditional finance, Behavioral finance and Mathematical finance. This paper bases on the individual investors' behavior survey and constructs a quantitative investment model with Time-series Data. The model focuses on the share holding period and we found the Optimal share holding period using the Chinese stock market historical data.The quantitative investment model we constructed in this paper is useful to the individual investors and simultaneously has guiding significance to the decision making of government.