| Since their discovery in 1993,the momentum and reversal effect have been widely concerned and studied.There are more and more researches in subdivision directions,including momentum effect in different periods or with different asset definitions,timeseries momentum effect,cross-sectional momentum effect and so on.The explanation of the momentum effect has gradually extended from the original Fama-French model to the behavioral finance theoretical model.Meanwhile,more scholars have found that some factors will impact the momentum effect and attempted to use behavioral finance theories to explain it.It is noted that one of the important factors affecting the momentum effect is information shock,which can be measured by stocks trading volume according to classical information theory.Therefore,this thesis chooses to conduct a research from the perspective of the relationship among stocks trading volume volatility,information shock and the momentum effect.This thesis first discusses the HS and DHS models in detail,and partly expands the content of the classical DHS theory.Then,based on the expanded DHS model and information theory,this thesis carries out empirical research design,using a neutralized stock trading volume coefficient of variation as the proxy variable of information shock to investigate the characteristics of momentum effect under different information shock conditions.This thesis selects the daily data of all A-shares Stocks data from January 2016 to January 2022 as the sample,conducts monthly medium-term research,and uses twostep ranking-grouping method to build portfolio which by first grouping the neutralized stock trading volume coefficient of variation and then grouping the returns,using overlapping sampling method with Newey West’s HAC adjustment method t-test to get empirical results.The empirical results show that,firstly,in recent years,the A-share market has generally shown more medium-term momentum effect on monthly frequency than reversal effect.Secondly,the information shock represented by stock trading volume fluctuation has an important impact on whether the price trend presents momentum or reversal effect.It shows that,the smaller the previous stock trading volume fluctuation is,the more likely the subsequent trend of the stock price will present a stronger momentum effect.The contribution is that,On the one hand,this thesis innovatively expands the content of the classical DHS theoretical model,introduces psychological effects such as disposal effect into the model,points out the possibility of the existence of the "Momentum Zone".This thesis has innovated a new momentum research method based on the neutralized stock trading volume coefficient of variation,established the relationship between stock trading volume,information shock,investors’ heterogeneity in behavioral finance and stock price trends,explained the mechanism of momentum effect from a new perspective,and enriched the paper in related fields.On the other hand,in a practical sense,firstly,the research conclusions of this paper can help predict the change of market price trend,and the research ideas can be quantified and even become a factor,which can be used to build medium or long-term investment strategies,and can also be added to a multi-factor investment model.Second,the research conclusions of this paper can help to assess the effectiveness level of the market.Finally,Since the research in this paper relates to information impact,the conclusion of this paper can also provide more factors to be considered for regulators to improve information release rules and select the time point of information disclosure,which has certain practical significance. |
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