Research On Week Momentum Strategies Based On A-share Market In China

Behavioral finance mentions that investors’ cognitive ability has a certain limit,so they may produce some psychological deviations when making investment de-cisions,such as excessive conservatism or confidence.This will lead to two results of investment behavior-overreaction and underreaction,which are the theoreti-cal basis of momentum and reversal effects.Since the concept of momentum was proposed by Jegadeesh and Titman(1993),it has received much attention.Its existence means that the stock market is not fully efficient.Before this,a lot of people have studied the momentum effect of China’s stock market,and there are also a lot of people who take the day as the study period,but no one has studied its performance rule in the week.As is known to all,China’s stock market often gathered a lot of news over the weekend,and many securities firms choose to publish research on Monday,investors pay close at-tention to such news,it will affect investors’ investment behavior,so Monday’s present a large fluctuations,then,in the process,reaction and excessive will hap-pen?Did Monday’s higher-yielding stocks do well after that?Inspired by the Monday effect,this paper combines this phenomenon with the momentum effect and constructs winners and losers respectively by using non-overlapping sampling method to study whether there are momentum characteristics and how the stock price moves during the week.In this paper,the weekly effect is tested first,and it is found that the effect still exists in China’s stock market at the present stage,with a relatively obvious"Monday effect".Then on Monday as the starting point,set up on Monday,Mon-day,Tuesday,Monday to Wednesday,Monday to Thursday for sorting.reference JT(Jegadeesh&Titman)basic methods,namely the stock yield in different sort period size sorting,elected in the first 10%as a winner,10%as a loser,after the research on the rules of its earnings,because stock market of our country has a short-selling restrictions,so not hedge portfolio construction.The results show that:(1)the a-share market has the characteristics of short-term momentum and reversal;(2)the combinations of winners and losers show a prominent statisti-cal rule,that is,when the ranking period is certain,the probability of portfolio profit decreases with the extension of holding period,and the degree and range of earnings fluctuation are larger;(3)compared with the winner strategy,the loser strategy has more unstable returns and higher risks;(4)the stock portfolios selected from Monday to Wednesday and Monday to Thursday,no matter the winners or losers,all performed poorly and had no investment value,while the strategy of holding the portfolio of winners selected from Monday and Tuesday for one day showed momentum gains that continued to rise on the whole;(5)af-ter considering the trading limit factor,the portfolio return still shows the above similar rules,but the momentum characteristics are weakened,the reversal char-acteristics are enhanced,the winning portfolio profit probability is reduced and the return is significantly reduced,which indicates that the existence of strong stocks has a greater impact on the strategy,making the strategy seem to perform better and the yield is higher.In accord with the actual conditions of our country stock market,this paper studies the rule of the short-term movement of the momentum returns,this un-doubtedly expand the study of the momentum effect,such as research for monthly period when the momentum effect can be combined with seasonal effect,the Jan-uary effect,from a new Angle to study the effectiveness of stock market,it has the vital significance.Similarly,this has certain reference value for investors,which can enable them to formulate reasonable investment strategies that can obtain excess returns.