| The efficient market hypothesis is an important cornerstone of modern financial theory.Since its introduction,it has not only attracted wide attention from the academic community,but has also been challenged by theory and practice.As an important and endless market anomaly,momentum effect and reversal effect have launched a powerful challenge to the efficient market hypothesis.The momentum effect believes that the performance of stocks is predictable.That is to say,stocks that performed well or badly in the previous period will continue their previous performance for a period of time in the future.The reverse effect is the opposite.Therefore,they advocate that investors make active investments based on the momentum effect and predict future trends based on the past performance of stocks,thereby designing and adjusting trading strategies to obtain excess returns.This method of predicting future trends based on the past performance of stocks is inconsistent with the efficient market hypothesis.Therefore,since Jegadeesh and Titman proposed the medium-term momentum effect in 1993,the momentum effect has aroused extensive discussion in academia.The subsequent academic research not only confirmed the widespread existence of momentum effect and reversal effect in the financial markets of many countries,but also conducted indepth discussions on their characteristics,sources,and causes.As a typical emerging market,China has a certain degree of particularity compared with other developed capitalist markets.After entering 2000,the existence and uniqueness of momentum and reversal effects have become the focus of domestic scholars.Judging from the domestic research literature,many literatures explore the stock market as a whole,and rarely discuss it from the perspective of industry sectors.In addition,although some studies take into account the importance of industry factors,they are the research method only selects the industry index as the representative of each industry.On the one hand,it ignores the individual characteristics of individual stocks,and on the other hand,it reduces the practical operability of the research conclusions.This article combines the characteristics of existing literature research,and takes into account the important position and uniqueness of cyclical industries in my country’s national economy,and selects all the stocks of the six cyclical industries as the research objects to carry out the research,enriching and deepening the momentum effect.research paper.This study draws on the classic momentum strategy method of Jegadeesh and Titman to construct a momentum portfolio model,and selects all stocks in the six cyclical industries from June 1,2013 to June 1,2018 as samples to explore the existence,characteristics and characteristics of momentum effects.Influencing factors,and from the perspectives of traditional finance and behavioral finance,we explore the sources of excess returns of momentum strategy portfolios and the causes of momentum effects.The empirical research in this article found that the cyclical industries in China’s stock market do not have a significant momentum effect in the selected sample interval and monthly data,but there is a reversal effect,and the reversal effect is particularly obvious in the medium term;The test of factors found that momentum and reversal effects coexist in bull and bear markets,but overall the reversal effect is stronger,and the trend of the combination of winners and losers following the market’s rise and fall is not obvious.The company size and interval factors will indeed affect the reversal effect of the investment portfolio has an impact.Small-scale companies have a more pronounced mid-to short-term reversal effect,and the extension of the interval will weaken the reversal effect in the existence test results;traditional finance has an influence on the source of excess income from the momentum effect.The explanation is not strong,and the Fama-French model,which adds the scale factor and the market value to book ratio factor,has stronger explanations than the single-factor CAPM model.The HS theory and BSV theory model of behavioral finance based on emotion model can effectively explain the reason for the short-term reversal effect in the empirical test. |
