Abstract
This study examines two questions: first, the existence of momentum and contrarian effects on the growth enterprises market (GEM), since the implementation of the registration-based system in China; second, the influence of different cross-sectional characteristics of companies on the two effects. By constructing a momentum effect model with China's A-share market data, and analyzing the impacts of the issuance registration system on momentum and contrarian effects, we find a short-term momentum effect in the A-share market, which weakens until disappearance in the longer term. However, due to the reform, the effect on GEM changed from momentum to contrarian; companies with low market capitalization, low liquid market capitalization, low price-to-book ratio and high turnover rate were found prone to the contrarian effect. Analysis based on the registration system can help government regulators formulate current policies and make constructive recommendations for investors.
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