Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)

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Optimize Momentum Strategy by Using Transaction Costs and Stock Trading Volume Based on CSI500

Authors
Jiacheng Bie1, Xinrong Zhong2, *
1Xian Tieyi High School, Xi’an, 710016, Shaanxi, China
2Wuhan Britain-China School, Wuhan, 430040, Hubei, China
*Corresponding author. Email: 631402070310@mails.cqjtu.edu.cn
Corresponding Author
Xinrong Zhong
Available Online 26 September 2023.
DOI
10.2991/978-94-6463-246-0_29How to use a DOI?
Keywords
Stock Market; Momentum Strategy; Transaction Costs; Stock Trading Volume
Abstract

The momentum effect is one of the most typical market anomalies. Momentum methods are frequently employed in European nations, but less so in China’s local market. The performance of the momentum effect in the domestic stock market as well as the similarities and variations between domestic and overseas momentum effects have recently come under the focus of a number of studies. So, in order to optimize the momentum strategy in the Chinese A-share market and assist Chinese investors in improving their investment strategies and achieving higher returns, this paper first presents the results of recent research on the momentum effect in the Chinese stock market. It then builds a trading model based on the CSI500 data in China using transaction costs and stock trading volume between 2001 and 2023 (based on the first trading day). By analyzing the price trends of the Chinese stock market from 2000 to the present, this paper calculated the optimal investment strategy based on the mo-mentum strategy. The results show that China lacks the capacity and mechanisms to achieve short sale, therefore it may not always possible to pursue optimal strategies in Chinese stock market.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
26 September 2023
ISBN
978-94-6463-246-0
ISSN
2352-5428
DOI
10.2991/978-94-6463-246-0_29How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jiacheng Bie
AU  - Xinrong Zhong
PY  - 2023
DA  - 2023/09/26
TI  - Optimize Momentum Strategy by Using Transaction Costs and Stock Trading Volume Based on CSI500
BT  - Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
PB  - Atlantis Press
SP  - 238
EP  - 244
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-246-0_29
DO  - 10.2991/978-94-6463-246-0_29
ID  - Bie2023
ER  -