Abstract: Based on the whole data of China's A share market in the period 1998~2005 and the discussion on the earlier works about the momentum effect at home and abroad, a check was carried out empirically for the momentum effect. The results revealed that the momentum effect on short-run investment is unobvious statistically in the A share market, while the excess returns on shart/medium-run investment are available for those investors who make use of the strategy of momentum effect. Most of both the winner and loser portfolios gain excess returns or suffer losses in the same direction, i.e., the simultaneous rise or fall of various stock prices characterizes China's stock market. It implies that the investors react to the market information in a positive feedback mode. For this reason, some suggestions are recommended for the development of China's stock market and investors' operational strategies.