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Research On Momentum Effect And Reversal Effect Of Chinese Stock Market From The Perspective Of Volatility

Posted on:2017-04-10Degree:MasterType:Thesis
Country:ChinaCandidate:D YuFull Text:PDF
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Momentum effect is one of the most common market anomalies in the capital market, by the existence of momentum effect, efficient market hypothesis has been questioned by researchers and investers.Therefore the research of momentum effect and reversal effect can help us deeply understand the essence of capital market,and make contributes to the theory of efficient market hypothesis. The main innovation of this paper is to take volatility as the main angle of view to study the reason of reversal effect,for the first time in domestic related research.This paper uses the overlapping research method by Jegadeesh and Titman to research the existence of momentum effect and reversal effect in Chinese stock market,the results showed that:1,Chinses stock market has significant reversal effect,while there is no significant momentum effect;2,reversal effect became gradually weaker with the extension of time period.The symmetry test results of winner portfolio and loser portfolio showed that the reversal effect of Chinese stock market is mainly derived from the loser portfolio,namely the yield of loser portfolio is greater than the yield of winner portfolio.In view of the features that Chinese stock market has high volatility,combined with the phenomenon that loser stocks have emerged high rate of return in high volatility market conditions during the 2014-2015 bull market in China,we take volatility as the main angle of view to study the reason of reversal effect.The results showed that :1, volatility has significant explanatory power to explain the reversal effect in Chinese stock market,and the explanatory power mainly centred on loser portfolio;2,further tests showed that the market pessimistic expectations may help to explain the explanatory power of volatility on loser stocks, investors will amplify the pessimistic expectations influence on the loser portfolio,cause the oversold of loser portfolio, after the restoration of the loser portfolio yields rebound makes the overall market showing a reversal effect.
Keywords/Search Tags:momentum effect, reversal effect, volatility, loser portfolio, market pessimistic expectations
PDF Full Text Request
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