An Empirical Test of the Momentum Effect of China's STAR Market: The Study Based on the Listed Company’s Turnover Rate

Abstract

Momentum effect is a hot topic of research in both academia and industry, and it is also a key point of whether 'chasing the upside and downside' strategy can be adopted. Many studies in the whole Chinese A-share market show that there is no significant momentum effect, and in order to further dissect the existence of momentum effect in the Chinese stock market, this paper selects the monthly stock data of the Science and Technology Innovation Board (SSE STAR Market) from 2020 to 2022 monthly stock data to test the momentum effect based on the grouping of turnover rates on the momentum strategy construction method of Jagadeesh and Titman. The empirical study finds that: (1) there is no significant momentum effect in the monthly frequency of both high and low turnover rates in China's STAR market; while there is a significant momentum effect in the medium turnover rate; (2) the combined momentum effect of medium-term and long-term is most significant in the medium turnover rate. (3) There is no significant reversal effect in the monthly portfolio in the whole STAR market.