Research on the Momentum Effect and Contrarian long-short portfolio base on CSI 800 Index

DOI

10.2991/icfied-17.2017.15How to use a DOI?

Keywords

CSI300; rotation effect; big-small market index

Abstract

In this paper, we use the data of CSI 300 constituent stocks from January 12, 2004 to August, 2016 to test the effectiveness of the rotation effect of big-small market index. At the same time, compare with the traditional method of single factor by logit model,muti-factor model is used to test the rotation effect effects of big-small market. The model is proved to have a better result.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yang Neng
PY  - 2017/04
DA  - 2017/04
TI  - Research on the Momentum Effect and Contrarian long-short portfolio base on CSI 800 Index
BT  - Proceedings of the 2017 2nd International Conference on Financial Innovation and Economic Development (ICFIED 2017)
PB  - Atlantis Press
SP  - 82
EP  - 85
SN  - 2352-5428
UR  - https://doi.org/10.2991/icfied-17.2017.15
DO  - 10.2991/icfied-17.2017.15
ID  - Neng2017/04
ER  -