An Empirical Study on the Effectiveness of China's Growth Enterprise Market: A Test Based on Momentum Reversal Effect

Abstract

In capital market anomalies, momentum effect and contrarian effect are typical phenomena in stock market, bond market, commodity market and foreign exchange market. The existence of momentum reversal effect also shows that there is a certain space for perfect integration between the traditional efficient market hypothesis theory, behavioral finance and capital market anomalies. This paper selects 50 stocks in China's GEM stock market from 2019 to 2021 to analyze the momentum effect and reversal effect in the GEM market. The empirical results show that the GEM market reversal effect is more significant in the total sample during this period, but no significant momentum effect has been observed. In addition, during the overall downward trend of the selected stocks, the reversal effect is more obvious, and there is a scale effect. China's GEM stock market is not yet a fully effective market. According to the empirical results, the relevant thinking and suggestions are put forward to promote the stable and healthy development of China's GEM stock market.