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

Jiacheng Bie and Xinrong Zhong ()
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Jiacheng Bie: Xian Tieyi High School
Xinrong Zhong: Wuhan Britain-China School

A chapter in Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023), 2024, pp 238-244 from Springer

Abstract: 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.

Keywords: Stock Market; Momentum Strategy; Transaction Costs; Stock Trading Volume (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-246-0_29

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DOI: 10.2991/978-94-6463-246-0_29

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