An Empirical Study On Momentum Effect And Inversion Effect In China's Commodity Futures Market

Since Fama put forward the efficient market hypothesis in 1965,scholars have been questioning the effectiveness of financial markets for decades.Effective market theory holds that all information related to securities has been fully reflected in the price of securities market,and technical analysis plays no role in effective market.In practice,which poses a severe challenge to the efficient market theory.Momentum effect and reversal effect are the two most typical market anomalies,which have attracted wide attention of scholars at home and abroad and become one of the hot issues in modern financial research.Momentum effect refers to the trend that the future price fluctuation of securities will continue its past price fluctuation law,while reversal effect refers to the reversal trend of future price fluctuation of securities compared with the past.When market momentum and reversal effect exist,investors can obtain excess returns by designing momentum and reversal investment strategies.Foreign scholars began their research on momentum effect and reversal effect in1993 and 1985 respectively.The scope of the research is wide,including not only the securities markets of developed capitalist countries in America,Britain,Germany and France,but also some developed securities markets in Asia.The momentum is obtained not only for stock market,but also for futures,foreign exchange,funds and other markets.There is a consistent conclusion that there are significant effects and reversal effects.Compared with foreign studies,domestic scholars started late,and the research is mainly focused on the stock market at present.Whether there are differences between the two effects in China's securities market may be due to the particularity of China's securities market.This paper takes commodity futures in China as the research object,and on the basis of summing up the previous research results,makes an empirical analysis of the momentum effect and reversal effect of commodity futures market.Firstly,this paper combs and analyses the research literature of momentum effect and reversal effect at home and abroad,then makes theoretical analysis from two aspects of classical financial theory and behavioral finance theory,bull and bear markets.Weekly closing price data of 14 commodity futures traded in Zhengzhou Futures Exchange,Dalian Futures Exchange and Shanghai Futures Exchange from January 30,2014 to January 25,2019.Empirical research shows that there is a large reversal effect in China's commodity futures market,but no significant momentum effect is found.Finally,the paper summarizes the whole paper and gives some investment suggestions.