Empirical Research on Momentum Effect in Stocks from Shanghai and Shenzhen 300 Index

Abstract

Making reference to method of the abroad research, selecting the stocks from Shanghai and Shenzhen 300 index, we redo the research about the price momentum effects in China stock market with stocks' monthly return between Jan.2007 and Dec.2009. Under the assumption of short selling, we find significant momentum effect with the forming and holding period of 3-12 months and on the contrary find significant contrarian effect with forming period of 1 month.