| The Nobel Prize in Economics in 2013 was awarded to Eugene Farmar,an American economist.One of Farmar's outstanding contributions to the financial theory system is the Effective Market Hypothesis(EMH).With the continuous deepening and improvement of many economists,the efficient market hypothesis has become one of the cornerstones of the modern financial theory system.However,academia has also noticed that some phenomena that can not be explained by EMH,these phenomena are called anomalies,and momentum effect is one of them.Based on such facts,as early as the 1980 s,some scholars put forward behavioral finance theory and tried to explain the anomalies with behavioral finance theory.The momentum effect reserached in this paper is an important anomaly in financial market.Academics have found that the traditional financial theory can't explain the momentum effect,therefore some scholars try to use behavioral finance theory to explain this,and also get some achievements,but this theory need to be improved and modified.This paper researches the impact of speculative intensity on momentum effect under short selling mechanics in stock market by means of literature analysis,theoretical analysis and empirical test.The full text is divided into seven parts,the first part is an introduction,the second part summarizes the researches on momentum effect and herding behavior and short selling mechanics(Chapter 1),the third part analyses the theory of herding behavior and momentum effect(Chapter 2),the fourth part designs research method of this paper(Chapter 3),the fifth part is the empirical test of short selling mechanism on momentum effect(Chapter 4),the sixth part is the empirical test of herding behavior on momentum effect under short selling mechanism(Chapter 5),the seventh part is the conclusions and suggestions.This paper chooses 3222 daily data of 830 A-share stocks from September 1,2005 to November 30,2018 to research the impact of herding behavior on momentum effect through controlling capital value,calendar effect,turnover rate and return.By dividing 473 shares into margin trading group and 357 shares into non-margin trading group,this paper researches the influence of short selling mechanism on momentum effect,constructs 36 strategies with formation period and holding period less than 20 days,and tests them with different groups and different periods of the same subject at the same time to enhance the robustness of the conclusion.Eight different momentum effects empirical test were tested on four samples.The results show that the winner portfolio,loser portfolio and momentum portfolio of different strategies of different samples have significant momentum effects,indicating that within 20 days of formation period,A-share market has momentum effect.The average excess return of each portfolio decreases with the growth of the formation and holding periods,which indicates that the excess return of momentum effect decreases with the extension of time.Moreover,the average value of portfolio excess earnings decreases faster with the increase of holding period than with the increase of formation period,indicating that excess earnings are more sensitive to the change of holding period.Although the market arrangement that allows short selling can enhance the significance of the overall momentum effect of the sample and increase strategies that have significant momentum effect,it will reduce the average excess return of the portfolio.This means that allowing short selling will make the market reaction to stock information more moderate,which shows that short selling mechanism can make the market more rational in the interpretation of information,thus enhancing the market's presence.Effectiveness.This paper studies the influence of herding behavior on momentum effect by constructing the proxy variable of speculative intensity.It is found that the higher the intensity of speculation in twodimensional grouping,the more significant the momentum effect is,and the greater the mean of excess return of different combinations of strategies,that is,the stronger the herding behavior,the stronger the momentum effect.It shows that herding behavior enhances momentum effect.The suggestions of this paper are as follows: for investors,short-selling portfolios with low speculative intensity and small mean excess return in the formation period,while longselling portfolios with high mean excess return in the formation period,have higher excess return than multi-empty portfolios only considering the yield in the formation period.For the target that allows short selling,we can design a momentum strategy with a relatively longer formation period and holding period to increase earnings;for the target that does not allow short selling,the formation period and holding period of the strategy should be shorter to prevent the reversal of earnings.On the other hand,investors should pay more attention to the change of holding period rather than the change of formation period.For regulators,in addition to continuing to expand margin trading tenders to strengthen the effectiveness of the market as a whole,they should also strengthen the supervision of stocks with obvious herd behavior characteristics to prevent prices from seriously deviating from their value. |
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