Research On The Relationship Between Turnover Rate And Stock Price Momentum Effect And Reversal Effect

Since the development of China's stock market in the past 20 years,many domestic scholars have carried out repeated research and research on the "momentum effect".There has been no debate about the momentum effect of China's A-shares.Based on the original research,this paper adopts the classic momentum strategy to conduct empirical research on China's A-share market,and at the same time,it adds the turnover rate as an investigation variable,focusing on the relationship between the turnover rate and the momentum effect of stock price.Through the research and analysis of the data of China's A-share market during the 10 years from 2007 to 2016,through a series of empirical results,it is found that there is no momentum effect and reversal effect on China's A-share market.The empirical results show that the A-share market There is no obvious momentum effect,and the excess rate of momentum strategy is generally good,but there is a significant reversal effect,and the reversal strategy can achieve better results against the market.At the same time,it is found that the reversal effect has a positive correlation with the formation period and the holding period.The longer the formation period is,the longer the holding period is.As to whether the different turnover ratio combinations show different characteristics,from the empirical results,the high turnover rate stocks and the low turnover rate stocks do show different characteristics,and the low turnover rate stocks show a better ratio.The high turnover rate is more pronounced by the momentum effect;the high turnover rate of the stock shows a more significant reversal effect than the low turnover rate.However,it is noted that the momentum effect of the low turnover ratio combination is obviously only the combination of comparison and high turnover rate,and its absolute value is much smaller than the reverse effect of the high turnover ratio combination,which is consistent with the overall empirical results of the market.Further,in order to examine whether the empirical results have certain robustness,this paper divides the two bear markets and one bull market from 2007 to 2016,and verifies the above results by different performance results of the combination of high and low turnover ratios in different market segments.Whether the results are universal.Through the investigation of the bear market and the bull market,it is found that the high turnover ratio combination has a stronger reversal effect in the bull market,and the low turnover ratio combination has obtained a stronger momentum effect in the bear market.And try to explain the reasons caused by the empirical results through HS theory,analyze their behavior and psychology from the perspective of different investors to try to explain the results reasonably.At the same time,based on the original HS model,further research is proposed,and an improved HS model is proposed to explain the causal relationship between the momentum effect and the reversal effect.The two investors in the HS model are added to three types,and the HS model is used.Momentum investors are divided into momentum arbitrage investors and simple momentum strategy executors,and find that the reasons and moments of momentum effects and reversal effects can be better explained.Through the study of turnover and momentum effects and reversal effects,this paper gives conclusions and suggestions related to the fluctuations in the Chinese market:improving market mechanisms,eliminating speculation and learning to form investment portfolios.