Research On The Stability Of Momentum Return In Chinese Stock Market

The momentum effect is one of the earliest observed visions of the stock market.Since its discovery,the existence of momentum effect has been repeatedly confirmed in the developed countries' markets,but the corresponding studies in the domestic market mostly give negative conclusions.Due to the short establishment of the stock market in our country,the large number of individual investors and the imperfect supervision,it is unreasonable to think directly that the domestic stock market is more effective than the developed country markets.Therefore,the study on why the momentum effect is not stable in the domestic market is also a significant issue.This article explores the stability of momentum effects in domestic stock markets.First of all,according to the overlapping research method of Jegadeesh and Titman(1993),this paper empirically tests the momentum effect of the domestic stock market.Then,according to the ideas of Cooper(2004)and Wang and Xu(2010),this paper investigate the dynamic changes of momentum return from the perspective of market state and market realized volatility.In the end,due to the large number of individual investors in our country and the relatively irrational market,this paper also explores the instability of momentum effect from the perspective of prospect theory.After empirical analysis,this paper found: 1,China's stock market does not exist long-term and stable momentum effect,but there is a period of momentum effect.2.The market state will have a stable and lasting impact on the momentum effect.The momentum gain in the upward market is lower than that in the downward market.The realized volatility of the market will have a negative impact on the momentum revenue.Momentum gains can be decomposed into returns related to prospect theory and unexplained returns.These two parts are more stable relative to the momentum gains and have different sensitivity to the market volatility.The forward theoretical effect of the foreground The synergistic effect of return and return makes the momentum gain not significant.