Study On Chinese Growth Enterprise Market's Momentum And Reversal Effect

Since the concept of ‘momentum effect' was put forward,it had arouse constant discussion among financial scholars.The traditional finance school hoped to analyze momentum effect with traditional financial theory,while they couldn't come up with a complete and reasonable theoretical system while behavioral financial school could.Thus the momentum effect became a hot argument between traditional financial school and behavioral financial school.And the discovery of reversal effect in the1990 s caused further discussion.Among the researches on momentum and reversal effect,the researches in foreign developed countries are abundant,however the researches in our country are mainly based on main board market and small and medium-sized board market,but hardly on the growth enterprise market.As a young member of our country's multilevel capital market structure,the growth enterprise market plays a vital role in supporting the financing of small and medium-sized enterprises and promote the development of the economic transformation.The research of momentum and reversal effect in growth enterprise market can not only enrich behavioral financial theory,but make its pricing reasonable and canonical,improve the growth enterprise market,and play a more qualified role as a capital market.Based on Jegadeesh and Titman's research method in momentum and reversal effect,the paper uses 196 weeks data in 165 stocks to conduct the empirical analysis.The conclusion indicates that there is remarkable short-term reversal effect and medium-term momentum effect in the growth enterprise market.Based on that,the article further conducts the empirical analysis in five typical industries,and the conclusion shows that in addition to the machinery industry with short-term and medium-term reverse effect and basic chemical industry with no statistical significance in momentum and reversal effect,the computer industry,electronic components industry,and biological medicine industry all shows short-term reversal effect and medium-term momentum effect which is similar to the conclusion ingrowth enterprise market.Moreover the statistical significance in a bull market is still stronger than that in a bear market in the growth enterprise market and the five industries.To investigate the reason of the conclusion,we can find it's the unreasonable structure of the growth enterprise market,the serious effect of “policy market” and the defects of investor behavior characteristics that causes the short-term reversal effect and medium-term momentum effect in growth enterprise market.Based on that,the article finally provides some specific investing advises for investors and also comes up with some policy suggestion of how to improve Chinese growth enterprise market healthily and smoothly.