Empirical Study On Investment Strategy Of Limit Stock

Price limits policy was first adopted in China's Shanghai and Shenzhen Stock Markets on December 16,1996,to maintain the stability of the price in securities markets and protect the rights and interests of investors.After more than 20 years of development,the policy has brought great changes to China's stock market.As the perfection of the mechanism in securities markets and the development of scientific investment concept,many investors find the investment value of the limit stock.At present,most researches are focused on its backgrounds,effects and reasons,but the research on the investment feasibility and investment strategy of limit stock is not enough.In order to make up for academic deficiencies,the combination of theoretical analysis and empirical analysis is adopted in this paper to research the investment feasibility and investment strategy of limit stock.The paper is made up of five parts.Price limit policy,securities investment theory and securities investment analysis method are first introduced in this paper.On the foundation of it,the reason of stock limit-up and the feasibility of stock investment are researched.After clearing the investment opportunity of limit stock,momentum investment strategy of limit stock is proposed.In addition,the strategy is divided into three dimensions to be analyzed,including short-term investment,medium-term investment and long-term investment.In the part of empirical research,through Excel and VB,the profitability of the strategy is determined by calculating the return,daily income,total income and other indicators,and the validity and feasibility of the strategy are determined by comparing with the average return rat of Shanghai and Shenzhen stock market.The results show that: the momentum investment strategy of limit stock is a very effective method in the A share market in China,and its overall income is higher than the average income.From the short-term strategy,medium term strategy and long-term strategy,the yields of short-term strategy(1 day)is the most significant,whose profitability reaches more than 90 percent.With the increase of holding time(5 days,20 days),the income level and profitability gradually decline,but on the whole,it still exceeds the market average yield of the 2016 market index.After 20 days,with the continuous increase of holding time,the yields and profitability return to the market average level.From another aspect,the income level of the short-term investment strategy is much higher than that of the medium-term investment strategy and long-term investment strategy,which proves the short-term significance of momentum effect of stock price.Consequently,for investors preferring limit stock,the investment strategy of fast-in and fast-out is the most effective one.