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

DOI

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.

Copyright

© 2017, 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/).

Download article (PDF)

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  - Proceedings of the 2017 7th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2017)
PB  - Atlantis Press
SP  - 435
EP  - 439
SN  - 2352-538X
UR  - https://doi.org/10.2991/mcei-17.2017.94
DO  - 10.2991/mcei-17.2017.94
ID  - Ai2017/12
ER  -