Momentum Effect And Inversion Effect Of Conceptual Plate In China A-share Market

In recent years,with the continuous development of China's stock market,China's stock market has entered a new stage of development.As a new classification method of stock market,the conceptual plate merged into a class of plates according to a certain concept or event has become a hot factor in current investment analysis.f But depending on whether the occurrence of concepts or events can bring returns to investors and how long such returns can last is the question to be studied in this paper.The efficient market hypothesis holds that in an effective stock market,all the public information associated with the stock has been reflected in the price.At this time,the price is the price with effective information.It is not feasible to buy and sell stocks through relevant information to obtain excess returns.However,a large number of empirical studies by scholars at home and abroad show that there are certain strategies and investment methods in the stock market that can achieve stable excess returns.This phenomenon is called financial anomaly.Especially momentum and inversion effect,which are the hottest anomalies in theory and practice,are also the subject of this paper.Firstly,this paper reviews and summarizes the literature at home and abroad.The research on momentum and reversal effect shows that different markets,different samples and cycles,and even different measures of specific indicators may lead to different results.However,regardless of the results,this paper chooses the research methods of western scholars to test whether momentum and reversal effect exist in the conceptual plate of China's stock market.According to the research conclusions of Jegadeesh and Titman(1993),we first define a formation period and holding period portfolio(J,K),and rank all eligible conceptual plates according to the yield in the formation period J at a certain point.The top 10%stock portfolio is defined as the winner portfolio,while the bottom 10%stock is defined as the loser portfolio.The weights of each conceptual plate in the portfolio are equal.Then,the return of winner portfolio and loser portfolio within the holding period K is calculated,and the zero cost portfolio is constructed by making a difference.Observing the positive and negative returns of zero-cost portfolio to determine whether the portfolio may have momentum or reversal effect.Then,t-test is used to test whether the return rate of zero-cost portfolio has statistical significance.Secondly,in order to study the change of momentum effect and reversal effect of conceptual plate under different economic background,this paper classifies A-share market in China in the chapter of empirical test.Finally,it is found that there is obvious momentum effect in the conceptual plate of A-share market in the whole time interval.The momentum effect is more likely to occur in the combination of short and medium term,and the reversal effect of the conceptual plate occurs in a longer period,basically in 9 and 12 weeks.The excess Cumulative Return of momentum portfolio decreases with the extension of formation period and holding period,which indicates that the growth rate will slow down when momentum portfolio increases to a certain length.Conceptual plates show different states in different market states,showing stronger momentum effect in bear market,but more reversal effect in bull market.However,in the bull market cycle of different time lengths,the momentum effect,the inversion effect and the momentum effect alternately appear.Finally,in view of our research results,we not only understand the research results from the perspective of behavioral finance BVS model,but also try to explain the reasons of momentum effect in the empirical period from a new perspective,that is,positive feedback model.