Research On The Actual Results Of Momentum Strategy In A-share Market

In recent years,with the standardization of capital market management in China,more and more people turn their attention to the capital market.With the improvement of the degree of specialization of investors,quantitative investment has become one of the hottest topics in the capital market.Momentum strategy is a common strategy based on technical analysis,and a lot of theoretical studies have been done both at home and abroad.Although many scholars have done a lot of theoretical research on the momentum in A stock market,all scholars stay at the theoretical level,and adopt many idealized assumptions.This paper comes from the actual operation of the momentum strategy used in A stock market of Shanghai and Shenzhen.The research is based on the actual situation of A stock market,and the empirical analysis does not have any hypothesis.Taking the stocks of Shanghai and Shenzhen markets as samples,the actual effect of momentum strategy is presented in A stock market.This paper explores the effect of momentum strategy in A stock market.Based on the previous research results,the momentum strategy has different effects on different formation cycles.And the momentum strategy is effective in the short term,especially in the ultra short term.According to the momentum portfolio formation and holding period of time interval,the momentum strategy is studied.That is divided into three periods of month,week and day.And the research focuses on the time interval of the ultra short term momentum strategy.The research wants to confirm in the actual operation whether it can still obtain similar results with previous.The sample data of the last ten years was analyzed by the statistical T value and the annual yield of empirical results.The momentum in China's real operating environment is not significant,and does not apply to the current situation in China.Then,according to the actual fluctuation situation of the stock market,this paperadds the corresponding restriction factors to the stock selection,and improves the traditional momentum strategy.The results show that,on the one hand,it increases the annual rate of return,on the other hand,it plays a role in reducing volatility.This paper attempts to explore the reason why the momentum strategy is noteffective in the A stock market.The research shows that using the arithmetic average method,without considering the influence of the phenomenon trading closed,without considering transaction costs,adding short selling factors on the stock portfolio,these four factors will affect the effect of the momentum strategy.These factors will significantly reduce the annual yield of the momentum strategy.This also explains that most of the previous scholars get the results that the momentum strategy in A stock market in the short term is significant.The results of this study partly explain the reasons for the different results obtained by many scholars in the field of momentum effect and provide reference for individual investors and researchers.