Research On Momentum Effect And Timing Trading Strategy Of A-share Market

The law of price fluctuation in the capital market has always been a topic of academic concern,and whether the price change in the capital market is related to the information in the market is also the focus of debate among scholars.Random walk theory points out that stock price changes are random walk process,that is,irregular to follow.The efficient market hypothesis put forward on this basis further improves this point of view.However,in the real market,there are various "anomalies" which are difficult to explain with the efficient market hypothesis.Subsequently,some scholars put forward fractal and chaotic theory,behavioral finance theory and so on to explain the various "anomalies" of stock market price changes,which enriched the framework of capital market behavioral theory.Since there is evidence in both theory and practice that the changes of stock market prices are not traceless,more and more investors and scholars begin to explore the law and try to use this law to obtain excess returns in the stock market.Technical analysis is one of the widely used methods.The characteristic of technical analysis is that it uses historical data and mathematical methods to predict the future trend of stock prices.Moving average is a relatively simple and effective means of technical analysis.Based on the moving average rule,this paper designs the corresponding timing trading strategy,that is,according to the comparison of the moving average price and the size of the stock price on the previous day,we choose to buy stock assets or risk-free assets.After a preliminary test of the mobile average rule,this paper finds that the timing trading strategy can effectively avoid the downside risk during the bear market,while the performance of the timing trading strategy in the bull market is worse than the buy-and-hold strategy.In summary,although timing trading strategy has a general performance in bull market,throughout the historical interval,timing trading strategy has a better performance than buying and holding strategy,and it also confirms that the mobile average rule is applicable to China's stock market.In the part of empirical research,by comparing the moving average rules of different lag periods,we find that the moving average of three and ten periods performs better in statistical indicators,but considering the actual situation,the high turnover rate of the moving average of three periods brings higher transaction costs and professional requirements,which limits the possibility of its application in reality.At the same time,the 10-period moving average can track the trend of stock price when the stock price fluctuates greatly.Considering two aspects,this paper considers that the 10-period moving average rule is the most applicable.Subsequently,the sample data are sorted and grouped according to the micro-characteristics of volatility,turnover rate,scale and ownership structure.Empirical research shows that timing trading strategy outperforms benchmark strategy in all groupings,indicating that the moving average rule can track the trend of China's stock market better,that is,the stock market in China shows the characteristics of inertia effect.The mobile average rule has stronger trend tracking ability and market timing ability in stock portfolios with high volatility,small scale,low turnover rate and low ownership concentration.The empirical results of this paper also provide the following enlightenments to investors and other market participants: as a classical method of technical analysis,the moving average rule has certain applicability in China's stock market,especially in the aspect of avoiding extreme downside risk.Therefore,the view that the moving average rule is completely inefficient is biased;the lagging of the moving average rule.Periods are not fixed.Portfolios of different periods and different stock samples are applicable to the moving average rule of different periods,which needs to be determined by testing historical data.Timing trading strategy has different profitability for different characteristics of stocks,so we should pay attention to the microscopic characteristics of stocks when determining the portfolio.