Abstract: The paper is based on A-share stock market data from 2010 to 2022 in the CSMAR database, and uses JT investment strategy to quantitatively analyze the momentum effect and reversal effect of stocks under different noise levels in China's stock market. It is found that: In A-share stock market, there is a significant momentum effect in low-noise trading stocks at the monthly level, while a significant reversal effect exists in high-noise stocks, the returns cannot be explained by the Fama-French three-factor model; The margin trading policy significantly reduces the reversal effect under high noise, but cannot reduce the momentum effect under low noise; Based on the existence of information delay in the market, the noise trading of a large number of individual investors in the stock market has promoted the formation of the reversal effect at the monthly level, masking the original momentum effect of the stock market, and leading to the widespread existence of the reversal effect and the partial existence of the momentum effect in the Chinese stock market. Finally, based on the conclusions of the article, relevant policy suggestions are proposed: Enhance investors' relevant knowledge education; Improve the margin trading system and expand the coverage of the target stocks for margin trading; Strengthen the information disclosure mechanism of listed companies.

Key words: momentum effect, reverse effect, noise trading, information delay