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陆股通重仓股票的动量效应实证研究.docx

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陆股通重仓股票的动量效应实证研究 Title:EmpiricalStudyontheMomentumEffectofHeavyweightStocksintheShanghai-HongKongStockConnect(Lugutong)Program Introduction: TheShanghai-HongKongStockConnectprogram,alsoknownastheLugutongprogram,hasbeeninstrumentalinpromotingcross-borderinvestmentandenhancingmarketconnectivitybetweenmainlandChinaandHongKong.TheprogramallowsinvestorsinHongKongtotradestockslistedontheShanghaiStockExchange(SSE)throughtheHongKongStockExchange(HKEX),andviceversa.OneareaofinterestistheimpactoftheLugutongprogramonthemomentumeffect,specificallyinrelationtotheheavilyweightedstocksintheportfolio.ThisresearchpaperaimstoprovideempiricalevidenceonthemomentumeffectofheavyweightstocksintheLugutongprogram. 1.LiteratureReview: Themomentumeffectreferstothetendencyofstocksthathaveperformedwellinthepasttocontinueoutperforminginthefuture,andviceversa.Numerousstudieshaveexaminedthemomentumeffectindifferentstockmarkets,andsomehavefocusedspecificallyontheLugutongprogram.Previousresearchhasdemonstratedmixedresults,withsomestudiesfindingevidenceofmomentumeffectsintheprogramwhileothershaveshownmorelimitedorevennonexistenteffects.ThisstudyseekstoprovidefurtherinsightsintothemomentumeffectofheavyweightstockswithintheLugutongprogram. 2.ResearchObjectives: ThemainobjectiveofthisresearchistoinvestigatethemomentumeffectofheavyweightstockswithintheLugutongprogram.Specifically,thestudyaimsto: a)IdentifythestockcharacteristicsthatcontributetothemomentumeffectintheLugutongprogram. b)Examinethepersistenceofmomentumeffectinheavyweightstocksoverdifferenttimeperiods. c)ExplorethepotentialimpactofLugutonginvestmentsonmarketefficiencyintheShanghaiandHongKongstockmarkets. 3.Methodology: Toachievetheresearchobjectives,thisstudywillemployaquantitativeresearchapproach.ThedatausedwillincludeLugutonginvestmentdata,stockpricedata,andtradingvolumesforaselectedperiod.Keystatisticalmethodologies,suchasregressionanalysis,paneldataanalysis,andeventstudyanalysis,willbeemployedtoassessthemomentumeffectofheavyweightstocks.