Analysis On The Applicability Of HS Model In A-Share And Construct A Investment Strategy

A share market show obvious industry rotation and short-term momentum effects,chasing hot topical become a investment style of A share.Institutional investors have information superiority and research ability to find investment opportunities,information spread through the existing investment ecology,promoting the stock price rising,indicators of historical prices and volume then improve,the buy signal attracting ordinary investors,promoting the stock price rising higher.This paper analyze the existing A share investment ecology,summarize the current situation of A share market and the features of the main participants and its behavior characteristics in A share,analyze how the information effect the final stock prices,find that the characteristics of institutional investors in China are highly consistent with the "information observers" in the HS model.The characteristics of ordinary investors are highly consistent with the "inertia trader".This paper analyze an actual case of one company and a case of the semiconductor industry,compare them with the HS model.The two cases verifies the validity of the HS theory in A share.When the formation period and the holding period of the trading strategy are approaching the real cycle of the process,the excess returns become significant.The invest strategy constructed in this paper support the reliability of the HS model.