A Study On Momentum Of Stock Return

In recent years, more and more experts and scholars are inclined to research all kinds ofabnormal phenomena in the field of financial, one of which is stock gains momentumphenomenon. The efficient market hypothesis is the foundation stone of contemporaryfinancial research field, and many theories are based on the establishment of the efficientmarket hypothesis, and many experts and scholars have tried to take advantage of all aspectsof the correctness of the Efficient Market Hypothesis, but all kinds of abnormal phenomenaformed a major challenge to the Efficient Market Hypothesis, including the phenomenon ofthe stock gains momentum. The theories and empirical researches on the momentumphenomenon promoted the development of the microscopic theory of securities market andbehavioral finance theory. For example, the view of behavioral finance theory believe that"momentum effect" showed lack of stock price reactions to information, which can guideinvestors to choose more efficient investment strategy and then arbitrage activities by themomentum investment strategy, meanwhile proposed some models that momentumphenomenon is based on the irrational behavior from the perspective of investor psychology.This research is mainly conducted from following several aspects. First of all, weanalyzed and reviewed classical literatures on the momentum effect, and determined theresearch route and the content of this paper. Then, analyzing the momentum phenomenon byusing the special position for behavior of rational institutional investors, we thought that theemergence of the momentum phenomenon is not based on behavioral finance in the irrational,but investors behavior of building positions, which results in the "momentum phenomenon" ofstock price. The last part is the empirical study, and we selected the Shanghai and Shanghai50index as the breakthrough point which is used to testify the momentum phenomenon and therelation of the volume. Besides, we chose the fund heavy warehouse stock as sample to furtherstudy the causes and motivations of their positions, and points out the influence on the stockprice and the trading volume. It is worth mentioning that research on this issue has beenincluded Tianjin Philosophy and Social Science Planning Grant, the topic name is The Studyon Momentum and Reversal of Stock Return: an Explanation Based on Position-Building ofInstitutional Investors. I will explore in-depth study in the future.