Research on strategy optimization of weekly momentum based on trading volume: Empirical results from the U.S. - China stock market

Abstract

In this paper, we construct the traditional weekly momentum portfolio and add the trading volume to it in order to study the optimization of the trading volume on the weekly momentum investment strategy. The study of NYSE and AMEX stocks from 1965 to 2012 shows that adding trading volume will continue to optimize stock returns for at least four years. At the same time, the study of Shanghai and Shenzhen A shares from 1993 to 2014 shows that the stock returns will continue to be optimized for up to 5 years after trading volume is added. The regression analysis between the weekly momentum strategy and market State based on trading volume finds the reverse relationship between strategic remuneration and market volatility and market illiquidity.