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Momentum and Contrarian Effect Model under Constrain of Short Sale

Zhu Zhan-yu, Wenfeng Wu

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Abstract

We expand HS model's hypothesis, consider constrain of short sale and contrarian trader's effect, build Momentum and Contrarian Effect Model under Constrain of Short Sale, which clearly characterizes stock price's movement track affected by positive and negative news and directly describes momentum and contrarian effect's extent affected by news watchers and trend traders. We identify that: Constrain of short sale makes Losers seldom present contrarian effect in long period movement.

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What this paper is about

We expand HS model's hypothesis, consider constrain of short sale and contrarian trader's effect, build Momentum and Contrarian Effect Model under Constrain of Short Sale, which clearly characterizes stock price's movement track affected by positive and negative news and directly describes momentum and contrarian effect's extent affected by news watchers and trend traders. We identify that: Constrain of short sale makes Losers seldom present contrarian effect in long period movement.

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Available abstract

We expand HS model's hypothesis, consider constrain of short sale and contrarian trader's effect, build Momentum and Contrarian Effect Model under Constrain of Short Sale, which clearly characterizes stock price's movement track affected by positive and negative news and directly describes momentum and contrarian effect's extent affected by news watchers and trend traders. We identify that: Constrain of short sale makes Losers seldom present contrarian effect in long period movement.

Key concepts: Contrarian, Momentum (technical analysis), Stock (firearms), Economics, Financial economics, Monetary economics, Stock market, Econometrics

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