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

DOI

10.2991/mmetss-16.2017.14How to use a DOI?

Keywords

Quantitative investment; momentum; reversal; long-short strategy

Abstract

In this paper, we use the data of CSI 800 constituent stocks from January 15, 2007 to June 29, 2012 to test the effectiveness of the method of dividend yield. At the same time, compare with the traditional method of dividing stock by equal amount, Different models are used to test the momentum and reversal effects of Chinese stock market. The model is modified by using 150/50 strategy, and the result is good.

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  - Jian Zeng
PY  - 2017/02
DA  - 2017/02
TI  - Research on the Momentum Effect and Contrarian long-short portfolio base on CSI 800 Index
BT  - Proceedings of the 2016 International Conference on Modern Management, Education Technology, and Social Science (MMETSS 2016)
PB  - Atlantis Press
SP  - 71
EP  - 76
SN  - 2352-5398
UR  - https://doi.org/10.2991/mmetss-16.2017.14
DO  - 10.2991/mmetss-16.2017.14
ID  - Zeng2017/02
ER  -