Short-Term Momentum Strategy Based on Chinese Stock Market

Jing-Wen Yang

《管理科學與統計決策》 11卷1期 (2014/03) Pp. 54-60

https://doi.org/10.6704/JMSSD.2014.11.1.54

並列摘要

This paper is about the portfolios of momentum strategies and reverse momentum and to analyze the daily average yield of different holding periods and if it is significant. The momentum portfolio is buying winner portfolios and selling loser portfolios and the return can be test with t test. The contrary is the reverse portfolio. The results showed that when the combination of the formation of the investment period is (1, 1) and (1, 3), no matter how the groups are, the momentum effect is significant; when the combination of the formation of the investment period is (1, 5), no matter how the groups are, the reverse effect is significant. Then rank regression model is formed to predict the level of average daily return.

並列關鍵字

Momentum Strategies ； Reverse Strategies ； T Test ； Rank Regression Model

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