An Empirical Study On The Momentum Reversal Strategy Of The A-share Market's Sector Effect

The effective market hypothesis in the field of traditional finance holds that the stock price has fully reflected the market information and that investors can not obtain excess profits by analyzing the past experience.However,more and more studies find that many phenomena in the market can not be explained by the effective market hypot hesis.In October 2017,Richard Thaler won the Nobel Prize for Economics,and behavioral finance theory was re-heated.Behavioral finance believes that the irrational behavior of investors will also seriously affect the price of stock,thus providing investors with the opportunity to obtain excess returns.Momentum strategy is one of the important references in investor’s practice.The momentum effect,proposed by Jegadeesh an d Titman(1993),reveals that the stock return will continue its previous direction of motion,that is,stocks with high yield in the past period will still have higher yield in the short to medium term in the future;low yield stocks in the short to medium term yields remain low.The reversal effect is the return of the past,the higher the stock in the future yield is relatively low.This extends to buying a stock portfolio(winner)that has performed well in the past and selling a stock portfolio(loser portfolio)that has underperformed in the past,called the momentum strategy.Correspondingly,buy a combination of losers,sell stocks winners,known as the contrarian strategy(contrarian strategy).More and more research proves that using the momentum strategy and the reversal strategy,investors can obtain excess returns steadily.After more than 20 years of development,China’s securities market has gradually become more mature.With the strict supervision over information disclosure and insider trading,the unwarranted speculation has been greatly suppressed.The past era of capital being king is gone.In line with the objectives of economic restructuring appeared significantly stronger than the market index trend,emerged in the industry leading company’s stock price trend is far outperformed the market index.At the same time,t he lack of investment logic support listed companies,stock prices in the long-term dec line in the channel,the lack of liquidity in securities.In the market environment with obvious structural characteristics,the momentum strategy was researched by research ers in the context of A-share market,and discussed,analyzed and verified in different dimensions.At present,such studies mainly focus on the existence of relevant empiric al research,and the research on using momentum effects in actual investment strategie s is still rare.The innovation of this paper is based on the direction of economic devel opment in our country in recent years,IPO normalization,the structure of the market environment as the basis,the plate effect of the momentum reversal strategy as the sta rting point,through the quantitative trading means applied to the computer platform,s upplemented by averages Strategy,turnover factor and other means of market strategy to optimize,making this strategy is expected to be significantly ahead of the benchma-rket index gains.This study concludes that this strategy is feasible.