Study On The Effectiveness Of The Momentum Strategy Of Stock Market With Bounded Rationality

As China's capital market recovers and the regulatory authorities strengthen,more and more investors have turned their attention to China's capital market.Low-interest savings investment has been unable to meet people's investment needs.Investors' investment options have become increasingly diversified.Quantified investments with higher technical level and investment knowledge have also become closer to the people.Many investors have been placed in “baskets”..Because the momentum strategy is part of the quantitative investment strategy,the demand for technology and knowledge reserves is relatively high.Therefore,despite the earlier and more complete research on foreign developed markets,it is still in the stage of in-depth research and discussion in China.Because our country's securities market has its own particularity,so many previous studies are based on ideal assumptions and are more inclined to theoretical research.This paper tries to start from the actual situation of the A-share market in Shanghai and Shenzhen and explore the real operation effect of momentum strategy in China's stock market,so as to study the actual situation of momentum effectiveness based on bounded rationality in China.Therefore,this paper will study the sample time span divided into six stages according to the market cycle,each stage represents a market situation,making momentum strategy analysis for different market situations,making the conclusion more practical value and significance.First of all,through the analysis of research results at home and abroad,especially domestic scholars based on the situation of China's stock market,this article selects all A shares of Shanghai and Shenzhen stocks as samples,according to the momentum strategy model,using the "week" as the unit of time for the development period and The construction is held and the time span is divided into 1,4,8,12,24,48 cycles for research.Based on the empirical analysis of the sample data from 2005 to 2017,momentum investment strategy and reverse investment strategy are effective in China when the market is in different markets.With the impact of bull market,bear market,shock market,“V” type market and special emergencies,the effectiveness of momentum strategies(or reverse strategies)has also changed.On the whole,the momentum investment strategy and reverse investment strategy are applicable to different conditions in the Chinese securities market.??Afterwards,this article combined with people's limited rational psychology to conduct research.Through statistical results,it analyzes the "overconfidence","herd effect" and "disposal effect" of investors in China's securities market,and has a certain impact on investors' investment decisions.Among them,the "disposal effect" has the most significant effect.The results of the study partly explain the reason why the momentum strategy has no significant effect in the A-share market,and provide references for investors and researchers.Finally,based on the limited rational psychology of investors,this paper analyzes the rational use of momentum strategies,attempts to design momentum strategies based on different market conditions,and proposes implementation and adjustment recommendations.