Construction Of VMTM&Momentum Effects In China’s A-Share Market

The momentum effect has long been a research hot spot in the field of financial investment.It is still controversial whether there is momentum effect in China’s A share market.However,momentum technical index(abbreviated as MTM)is widely installed in the stock trading platforms of various brokers,which can be used by technical analysis investors.Based on the premise of "there is momentum effect in China’s A-share market",this paper expands the MTM to construct a new momentum indicator-volume momentum index(called as VMTM),being from the impact of the price level of each stock and the trading volume on the stock price change,the goal for this research is to meet or exceed the technical analysis function of the MTM momentum indicator.The effectiveness of VMTM momentum index is verified by program backtest method in China’s A share market.In this research,it can be divided into three levels:individual stock backtest,multi-stock backtest and overall backtest.It is proved that VMTM has advantages over MTM in the index of maximum withdrawal.According to the results of multi-stock backtest and overall backtest,the VMTM average return of individual stocks is as similar and positive as MTM,and then VMTM has the same effect as MTM momentum index in the analysis of stock price trend.VMTM and MTM are all use to do the price trend analysis in stock markets.Owing to positive average earnings and average profit/loss ratio from the multistock retest and the overall retest of MTM and VMTM in China’s A share market,to utilize momentum analysis index forgetting earnings is proved to be effective in China’s A-share market,and the existence of momentum effect in China’s A-share market should no longer be controversial.