| Summary: | 碩士 === 國立彰化師範大學 === 企業管理學系 === 95 === Whether the stock price can be predicted or not is always a key issue in financial studies. In past literatures, it is found that investors can take certain operation strategies to obtain excess returns in stock markets. One of the most discussed subjects is the momentum strategy. It means that buying past winner portfolio and selling past loser portfolio at the same time can yield the profitable returns. In this study, following Jegadeesh and Titman (1993), we investigate the feasibility of momentum strategy in China Market including A shares and B shares. We examine whether the momentum strategies can create significantly excess returns under various lengths of formation and holding periods.
This study focuses on all the listed companies, from 1991 to 2006, on Shanghai and Shenzhen Stock Exchange. The results present that (1) in Shanghai Stock Exchange or Shenzhen Stock Exchange, A share market exists momentum phenomenon in the short term (one week to one month), and investor overreact to information in the middle term (three months to one year).(2) Similarly, in Shanghai or Shenzhen stock markets, B share market occurs significant price reversal in the short term and exists momentum phenomenon in the middle and long terms (three months to one year).(3) After deregulating B share policy, holding momentum strategy to one year can earn positively significant average returns, that means increasing local capital causes stock returns generating momentum effect.
Besides, can momentum strategies beat the market? Our results are as following: (1) whether in Shanghai or Shenzhen stock exchange, momentum strategies can’t beat the market.(2) after deregulating B share market policy, momentum strategy on A share market can create positively significant abnormal returns in the long terms. (3) after deregulating B share market policy, momentum effect became more significantly positive on B share market in the Shanghai and Shenzhen stock exchange, but the profits of momentum strategies still can’t overtake market returns.
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