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The Momentum Effect And Reversal Effect Of China’s Margin Trading Stocks

Posted on:2018-12-20Degree:MasterType:Thesis
Country:ChinaCandidate:Y D GuoFull Text:PDF
GTID:2359330542467729Subject:Finance
Abstract/Summary:PDF Full Text Request
The long-term existence of momentum effect in the market has challenged the effective market hypothesis and has become one of the hot issues in financial market.China’s stock market also exists momentum effect,on the one hand,its reflects China’s stock market is not entirely effective,on the other hand,it provide a broader perspective of investment for investors.This paper studied the momentum effect on the market and attempt to solve three problems:First,the existence of momentum in China’s market and its characteristics;secondly,whether the value and the growth of the stock have a certain effect on the momentum effect;Third,whether the expansion events of margin trading will improve the stock market Momentum effect and increase the effectiveness of the market.In view of the above problems,this paper first selects the stock of the financial margin as the research object,using Jegadeesh&Titman’s idea,using non-sampling overlapping technology as the momentum effect research method.Then,this paper divides the stock pool into the value group,the growth group,the GARP1 group with both the value and the growth attribute and the GARP2 group with poor growth value from the two aspects of the value and the growth attribute of each stage.Finally,the momentum effect of each period and each group is compared with each other,and suggestions are put forward for investors.Through the empirical test,this paper summarizes the above three questions:the momentum of the stock market in China there are momentum effects and reversal effect,momentum effect and reversal effect can be transformed,embodied in the observation period and holding period,And the momentum effect is gradually transformed into a reversal effect,and on the whole,the effect of the reversal effect is greater,and the bull market is more likely to be the momentum effect.The bear market is more inversion effect;the value and the growth attribute do It is easy to show a stronger reversal effect on the stock that has a certain impact on the momentum effect.The expansion of the margin does not improve the momentum and the reversal effect on the market,but because of its own leverage Sex,to a certain extent,exacerbated the momentum and reversal of the market.For investors,you can use the momentum strategy,combined with different market background and the characteristics of the momentum effect of the investment decision-making,to obtain higher profits.
Keywords/Search Tags:Momentum effect, Margin trading, GARP
PDF Full Text Request
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