The mechanism of stock market's heterogeneity on financial anomalies: From the momentum effect perspective

摘要

This paper calculated 812 stocks' daily average return of SSE A-shares during July 1, 2006 to December 31, 2009. By adopting overlapping sampling method, we computed out 70 group data of winners, losers and momentum strategies value, which come from cross-combination of 3, 6, 9, 12, 15 and 24 months' developing period and holding period of institutional investors and personal investors. After t-test, we find that momentum effect is not obvious in short term; price reversals exist and institutional investors under react in long term in Chinese stock market.