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

DOI

10.2991/febm-16.2016.36How to use a DOI?

Keywords

momentum effect; reverse effect; BSV model; HS model; Chinese A-share market

Abstract

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 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.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Dongxiang Zeng
AU  - Huangjin Liu
PY  - 2016/11
DA  - 2016/11
TI  - The Study of the Momentum Effect and the Reversal Effect On the Chinese Stock Market--Based on the Data of Chinese A-Share Market
BT  - Proceedings of the First International Conference Economic and Business Management 2016
PB  - Atlantis Press
SP  - 229
EP  - 234
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-16.2016.36
DO  - 10.2991/febm-16.2016.36
ID  - Zeng2016/11
ER  -