Research On Momentum And Comovement Effect Of Style Investing In Chinese Stock Market

There are many unusual phenomena in the stock market,leading the traditional effective market facing problem.According to the theory of effective market theory,historical returns can't be used as a basis for forecasting the current rate of return on stocks or portfolios.However,many scholars have found that stocks or portfolios have momentum effects through research.Therefore,based on non-effective theory and the theoretical results,the field of investment begins to focus on research.For individuals or securities investors,style investment is an efficient stock allocation and risk management strategy.Investors in the investment program before the decision,usually the first stock according to the different characteristics of the classification,and then in accordance with the characteristics of different combinations of stocks selected corresponding to the investment program.Famous scholar Barberis' s research on style investment is manifested in two aspects: First,style investment can enhance the momentum effect at the asset level,and this effect may occur at the style level,that is,the style combination of future income sequence in a certain period and the historical income sequence is positively correlated.Second,the income of individual stocks and their combination of style has a synergistic effect.This provides the arbitrage space for the technology trader and the investor in the securities market,which has important reference significance for the securities pricing,the risk prevention and the financial innovation.In recent years,the rapid development of China's securities institutions,financial practitioners of professional and technical ability to enhance the style of investment in the country to be further developed.Foreign studies have found that momentum effects play a role in style portfolios,and that there is a greater possibility that higher combinations of styles have a higher level of income during the specified investment period,which has a significant impact on the development of investment strategies.On the basis of the mature theory of foreign countries,this paper takes the stock-related data of China's A-share market from 2007 to 2015 as a sample,and uses FM regression and Jegadeesh-Titman classical method to observe the performance of style momentum in China's A-share market,While embedding the synergistic effect into the traditional investment strategy,and test the profitability of the momentum trading strategy based on the synergistic effect.In addition,in order to further explore whether the source of momentum income is different from the formation and investment period of the style combination,this paper draws on the general method to decompose the formation of the momentum effect.The results show that there is a significant momentum effect in the first and second combination of styles.Second,the source of the style momentum changes with the formation period and the holding period.Thirdly,there is synergistic effect between the stocks and the combination of the style,and the stronger the synergistic effect of the style portfolio,the higher the future earnings.The conclusion of this paper not only extends the research scope of China's securities market style investment,but also helps investors to improve the efficiency of asset allocation,while the regulatory authorities also have some reference value...