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Empirical Study on Momentum Trading Behaviors of Security Investment Fund in China

About institutional trader whether or not stable stock market, exist a lot of research in theory and demonstration, justification that institutional traders is likely to cause that stock market fluctuation ,they consider that institutional
Submitted On: 04-01-2010 | Views:	Article Tools:

About institutional trader whether or not stable stock market, exist a lot of research in theory and demonstration, justification that institutional traders is likely to cause that stock market fluctuation ,they consider that institutional traders do some thing bring on stock market fluctuation because of agent-client and competition within institutional traders, crosssectional views are herd behavior and window-dress phenomenon .this paper try to study whether funds cause market destablization from momentum tradingMomentum trading also named positive feedback strategy, therewith nagetive feedback trading strategy (contravian trading strategy), positive feedback strategy is that buy stock that current show pofitable, and sell that current show no-pofitable , feedback trading strategy contray to it .normally, individual traders have characteristic of nagetive feedback traders in rising market, overfull positive feedback trading sometimes overfull fluctuation ,so we think momentum trading is bad for marketThis paper select trading data that open-fund in 2002.03-2007.06,review stocked fund in our country whether excist momentum trading, result show that stocked fund more show as contravian trading, we also base on market cycle,investment style and prophase income ,checkout fund trading whether or not momentum trading, weigh front ten stock that fund holding, fund entry and exit measure exist windage up ,so we checkout robustness of result, the result of checkout show the conclusion of this paper is robustness

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