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Comparative Study On The Momentum Effect Of The Stocks Of Margin Trading And The Stocks Of Non Margin Trading

Posted on:2017-07-31Degree:MasterType:Thesis
Country:ChinaCandidate:B Y XuFull Text:PDF
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Since the 1980s, financial anomalies, such as the weekend effect, January effect, has been found frequently whichefficient market hypothesis can not give a reasonable explanation. Combined with psychology, behavioral finance focused the research on individual decision making, and gave reasonable explanation to the abnormal phenomenon of the financial market. Momentum effect is one of the arguments between classical financial theory and behavioral finance theory. Generally speaking, most of the empirical results show that the foreign stock market exist the long-term momentum effect. Before 2006, researches in China mainly focus on the existence of momentum effect in the stock marketDepending on different samples, the sample interval and the data processing method will lead to inconsistent results.Although Chinese stock market started late, but it develops rapidly. On March 21,2010, margin trading mechanism has been launched in Chinese stock market. This event shows the unilateral operation has come to an end. At the same time, the development of margin trading business also makes it possible for people to use the momentum trading strategy.Based on the above background, this article selects 500 stocks from 2011 November 25 to 2015 December 31 as samples. After that, we devied the samples to branches by whether marked has margin trading of shares or not. The research data is found in the weekly stock maketWe use Jegadeesh and Titman method to examine the momentum effect of each branches.The result shows that:for margin stocks, short-term momentum effect does not exist, but the long-term momentum effectexists.For non margin stocks,the short term momentum effect exists, while long-term does notThese two different type of stocks show entire contrary results. But both in the short, medium and long term, all of them show a clear reversal effect. Finally, this article explains the differences, and puts forward the corresponding policy recommendations and investment recommendations.
Keywords/Search Tags:momentum effect, momentum investment strategy, margin trading, empirical analysis
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