Research on Medium-term Momentum Effect and Reversal Effect of The Science and Technology Innovation Board Stock

Abstract

Since the opening of the Science and Technology Innovation Board(STAR Market) in 2019, it not only plays an important role in the strategic layout of science and technology development of China, but also has been widely concerned by investors, who have generated the demand to study the stock price trend of the stocks affiliated to the STAR Market. Because the listed companies on the Science and Technology Innovation Board involve relatively concentrated industries, have relatively close listing time and operate in a similar environment, their stock price trends show similar characteristics. Based on the characteristics of the stocks in the STAR Market, this paper sampled and grouped the STAR Market stocks according to the medium-term observation data, and formed an arbitrage portfolio to explore the momentum effect and reversal effect within 3-12 months. This study provides ideas for constructing feasible investment strategies.