A Study On Determinants Of Momentum Of Stock Return

The Chinese term "Guan Xing" is translated from the English word "momentum",momentum is used to represent the inertia or momentum of an object's motion in physics and it represents trends in securities investment practice.In this paper,momentum is translated into momentum.In Securities Investment and Academic Research,momentum refers to the abnormal return on securities that remain positive(or negative).Momentum phenomenon is one of the most important anomalies in the field of securities investment at present,and it is also the focus of debate on Efficient Market Hypothesis and behavioral finance.Effective Market Hypothesis holds that momentum phenomena should not exist,because weak validity means that all technical analysis is meaningless.But behavioral finance verified the existence of momentum phenomena through empirical research,and it had put an end to the school of technical analysis to some extent.In terms of the explanation of momentum phenomena and its influencing factors,there are also great disputes between the two schools.In designing the research,first of all,this paper pays attention to using quarterly datas,the advantage is that listed companies and related institutions publish transaction and financial datas of institutional investors quarterly.Secondly,this paper designs positive and negative momentum groups to examine the impact of institutional investors' third quarter trading on securities prices.Positive(or negative)momentum refers to positive(or negative)abnormal return in both quarters.This paper finds that if a stock maintains positive(or negative)momentum in the first two quarters,the sustainability of momentum in the third quarter depends on the position-building of institutional investors.For Positive momentum groups stocks,if institutional investors buy(or sell)substantially in the third quarter,the momentum will continue(or stop).Negative momentum groups are similar to the positive.This paper mainly studies from the following five parts:the first part of the paper is to raise questions after discussing the relevant background and clarify the purpose and significance of the study.Momentum phenomenon is the focus of attention in the investment and practice,but it is necessary to further explore its influencing factors from the perspective of position-building of institutional investors.The second part is literature review,it mainly includes the following contents:research on the existence of momentum phenomena,momentum and reversal strategy and its influencing factors,interpretation of momentum and reversal phenomena and literature review.It is found that few literatures use empirical models to analyze the influencing factors of institutionalinvestors.The third part is related theory analysis including efficient market hypothese behavioral finance,position-building of institutional investors and so on.The fourth part is empirical analysis.Model 1 tests hypothesis 1 using datas of CSI 300 from 2016 to 2018,hypothesis 1 is that the abnormal return is proportional to the position-building of institutional investors in a quarter.Model 2 uses the datas of Shanghai A-share market from2014 to 2018 to test hypothesis 2.The hypothesis 2 is that if a stock has obvious momentum in the first two quarters,the third quarter's return still depends on the position-building of institutional investors,but has nothing to do with momentum.Descriptive statistics,correlation analysis,regression analysis and robustness test were used in the test process.The fifth part summarizes the conclusions of the study,and puts forward suggestions and countermeasures for the problems in the previous parts.