Abstract: The paper takes the lead to study the mutual transformation of momentum effect and reversal effect, concluding that investors’ blindly conforming to public information and stronger reaction to private information are the source of periodically mutual transformation, which follows the process of “momentum (or reversal) effect emerging→strengthening→weakening→reversal (or momentum) effect emerging→strengthening→weakening→momentum(or reversal) effect reemerging”. Empirical researches show that the mutual transformation of momentum effect and reversal effect does exist in Shenzhen A-share stock market, although the length of the cycle is not constant.

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