An Empirical Test On The Reversal Effect Of Chinese Stock Market

In modem financial theory,effective market theory is an important part.The effective market hypothesis holds that the stock price has embodied all the information that investors can obtain,and it is impossible for investors to obtain excess returns by analyzing information.However,the discovery of more and more financial anomalies has drawn different conclusions from the theory of efficient market hypothesis.In the process of finding more and more financial anomalies,the discussion about momentum effect and reversal effect has never stopped.Many scholars have studied the existence and change laws of momentum and reversal effects in some mature stock markets,such as the United States and other mature stock markets,and have drawn many or identical or different conclusions.In this paper,the existence of daily,weekly and monthly reversal effects in Shanghai stock market and Shenzhen stock market is tested.Through the test of these three times,this paper compares and analyzes the performance of two stock markets in Shanghai stock market A shares and deep market A shares from the short,medium and long term angles.Finally,we conclude that How does the reversal effect manifest in the stock market of China?Then,the stock closing price data of 2000 to 2015 are divided into 4 stages according to the different nodes,and the changes of the reversal effect in different time stages and different market forms are tested.Finally,the relationship between media opinion,investor sentiment and reversal effect is combed,and four different authoritative media reports are selected,and the time point of the report text of the stock market is the node of the authoritative media,and the influence of media opinion on the reversal effect of China's stock market is investigated.It is found that,regardless of the Shanghai stock market or the Shenzhen stock market,the daily,weekly and monthly tests show that there is a significant reversal effect in the Chinese stock market.Compared with the Shenzhen stock market,the performance of the Shanghai stock market is slightly more pronounced than that of the Shanghai stock market.After June 2005,the reversal effect increased significantly,and bear market and bull market had no significant effect on the degree of reversal effect.Compared with the two bear market stages before and after June 2005,the significant degree of reversal effect is different.The reason is that the split share reform has an impact on people's investment behavior.Reports on authoritative media opinion,whether bullish or bearish,have a certain impact on investors' behavior.We can effectively control China's stock market by monitoring media opinion.