The Study of the Momentum Effect and the Reversal Effect On the Chinese Stock Market--Based on the Data of Chinese A-Share Market

Dongxiang Zeng, Huangjin Liu
2016 Proceedings of the First International Conference Economic and Business Management 2016   unpublished
Momentum and reversal investment strategy are based on cross trade mechanism, which was not available until Aril, 2010 in China. Since then, countless papers in this area have been benefited from a mass amount of data. Using the stock market data since April 2010, this paper sets focus on the existence of the momentum effect and reversal effect on Chinese stock market. From the empirical research results, we find that there exist the short-term momentum effect and the mid-term reversal effect
more » ... m reversal effect on Chinese stock market. Based on the BSV model, this paper makes an effective explanation of the momentum and reversal effect on Chinese stock market.
doi:10.2991/febm-16.2016.36 fatcat:v6ist53frra63lge3hfju5y6au