Research On A-share Market Momentum Strategy And Influencing Factors

This paper tests the momentum momentum effect of the A-share market by constructing a time-series momentum strategy through the back-testing platform,and examines the cross-sectional momentum performance of the A-share market from different periods and different market levels.And under the condition that the traditional cumulative return rate strategy has a negative skewness and is prone to extreme risks,it proposes a momentum strategy based on risk management.At the same time,we analyze various influencing factors of the momentum strategy's yield,so that momentum trading strategy investors can better use the momentum strategy to obtain higher excess returns.By constructing a momentum strategy to test the Shanghai Composite Index and Shenzhen Component Index,it is found that there is a significant momentum effect in the A-share market.Because the market index is the average price of A-share market stocks,the above Shanghai Composite Index and Shenzhen Stock Index data are sampled,momentum indicators are constructed through the moving average system,and momentum strategies are constructed to test whether there is a momentum effect in the A-share market.As a result,it was found that there is a significant momentum effect in the A-share market.When the recent performance is better than the long-term performance,the excess returns can be obtained by buying the index.Momentum strategies have significant returns in the short-term and immature markets.For the multi-level market system of the A-share market,the momentum effect cycle is short-to-long,including 5 trading days,10 trading days,15 trading days,and 30 transactions.Day,60 trading days,60 trading days and 120 trading days.As a result,it was found that for the main board market and the small and medium-sized board market,from the five trading days to the 120 trading day periods,the momentum effect of the cumulative yield does not exist.For the GEM market,the momentum effect of short-term cumulative returns over only five trading days is significant,and a significant excess return can be obtained.Its annualized rate of return is as high as 37.8%.On the other hand,relative to the traditional cumulative rate momentum strategy,the risk remuneration momentum strategy significantly reduces the volatility of the portfolio yield,avoids the large fluctuations in the combined market value,and at the same time reduces the magnitude of the maximum loss and avoids its significant shrinkage.possibility.Although the CVaR,STAR ratio,and Rachev ratio momentum strategies are not as profitable as the cumulative rate of return strategy,Sharp rate strategies have excellent performance regardless of their profitability or risk resistance.The Sharp momentum momentum strategy achieved significant excess returns.Its annualized return rate during the backtest period reached 18.6%,which is much higher than other strategies and broader market gains.From the perspective of behavioral finance,taking into account the differences in behavior patterns between institutional investors and individual investors,the behavioral differences between institutional investors and individual investors in the aspect of momentum effects are expressed as the extent to which investor behavior is affected by market sentiment,and Due to the uncertainty of market information,it is necessary to further study the systemic risk premium factors of the momentum yield of the stock market.From a macro perspective,the stock market is merely a lagging indicator of a country's macroeconomic conditions and growth prospects,so macroeconomic factors may explain the phenomenon of excess returns.Through the GEM Market 5-day Accumulated Yield Momentum Strategy Yield and Information Uncertainty Agent Index(Shanghai Composite Index Amplitude),Investor Emotion Agent Index(Securities Investor Confidence Index),Macroeconomic Cycle Agency Index(Producer Price Index)In the regression analysis,it was found that the momentum strategy of the A-share market was affected by information uncertainty and investor sentiment,and was not related to the macroeconomic cycle.Therefore,the momentum effect of the A-share market is a behavioral financial phenomenon,which is essentially due to the investor's psychological factors and incomplete information.