Abstract: This paper divides Chinese stock market from 2003 to 2017 into three stages: ascending, flattening and descending，and uses five averages to test the inertia effect of the market, showing that the timing strategy has a higher return than the buy and hold strategy (B&H). When the market is ascending, the timing strategy has no advantage; while when the market is flattening and falling, the timing strategy can reduce risks and effectively stop losses, but does not improve portfolio returns. In addition, when transaction cost and timing range are introduced, it is found that the timing yield is still higher than the B&H yield, but transaction fees reduce investors’returns; the fluctuation range reduces the turnover rate of investors and has little impact on earnings.
Key words: momentum effect; timing strategy; transaction cost; timing range