Research On Copycat Strategy Of Chinese Stock Funds’ Top Ten Holding Stocks

In recent years,stock fund has gained popularity among the public with its deeper openness and marketability,and this trend is becoming more evident.This has,to a certain extent,improved the structure of Chinese stock market which is regard as retail investors-dominated.By the end of 2016,the size of stock funds had already reached 707.9 billion yuan,and the number is still keeping rising.Professional investment institutions are generally thought to have information and capital advantages over regular investors and through fair implement of value investing,their investment decisions are considered as a significant indicator in stock market.Investors have always been dreaming of simple and easy investment strategies.Imitation is the nature of human beings.For investment,the idea of tracking and replicating naturally generated.Based on previous researches on efficient market hypothesis,momentum and contrarian effects,herd behavior,portfolio risk diversification and etc.,this dissertation attempts to design a simple and easy-toimplement investment strategy for obtaining excess returns.By doing so,we not only verify the previous researches especially momentum and contrarian strategy,but also enhance the understanding of Chinese stock market.The brief conclusions of this dissertation are as follows:1.The simple and easy-to-implement investment strategy —— copycat strategy of Chinese stock funds’ top ten holding stocks can obtain excess returns.After amendment,this strategy has become more effective.2.This strategy was not distinctive during the “bull market”,but was prominent during the “bear market” and “consolidation” period.In addition,the holding period influenced the strategy,and there may be a periodic superposition of momentum and contrarian effect.3.As a whole,Chinese stock market has a momentum effect in short to medium term.Stock price may keep rising depending on its certain range of previous rise(that is,if it exceeds,contrarian effect may appear).On the other hand,a downside of stock price may continue when the price has always been dropped during early stage.