Proceedings of the 2017 7th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2017)

An Empirical Study on Momentum Effect and Reversal Effect of Growth Enterprises Market

Authors
Meng Ai
Corresponding Author
Meng Ai
Available Online December 2017.
DOI
https://doi.org/10.2991/mcei-17.2017.94How to use a DOI?
Keywords
Momentum effect; Reversal effect; Growth enterprises market
Abstract
Momentum effect and reversal effect are the financial visions confirmed by many scholars at home and abroad. However, due to the different market conditions in different countries, the conclusions drawn from different market data are also different. This paper analyzes the weekly data of 364 GEM stocks from January 1, 2015 to December 21, 2015 by constructing the combination of winner portfolio and loser portfolio, and discusses the short-term momentum effect and the short-term reversal effect.The other conclusion we got is that with the holding time gradually increased, the reversal effect will gradually decline. In addition, we also analyze the possible factors of the abnormal results exist of the empirical study.
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Proceedings
2017 7th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2017)
Part of series
Advances in Computer Science Research
Publication Date
December 2017
ISBN
978-94-6252-430-9
ISSN
2352-538X
DOI
https://doi.org/10.2991/mcei-17.2017.94How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Meng Ai
PY  - 2017/12
DA  - 2017/12
TI  - An Empirical Study on Momentum Effect and Reversal Effect of Growth Enterprises Market
BT  - 2017 7th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2017)
PB  - Atlantis Press
SN  - 2352-538X
UR  - https://doi.org/10.2991/mcei-17.2017.94
DO  - https://doi.org/10.2991/mcei-17.2017.94
ID  - Ai2017/12
ER  -