Are momentum and contrarian effects related? Evidence from the Chinese stock market

Shangkari Anusakumar (shely_abg@yahoo.com), Ruhani Ali (ruhani@usm.my) and Chee-Wooi Hooy
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Shangkari Anusakumar: Universiti Sains Malaysia
Ruhani Ali: Universiti Sains Malaysia

Economics Bulletin, 2014, vol. 34, issue 4, 2361-2367

Abstract: Behavioral models suggest that momentum and contrarian effects are linked. We examine the two effects in the Chinese stock market over an 18-year period. The findings reveal that there is no momentum effect in China. Nevertheless, contrarian portfolio yields significant returns. In other words, contrarian effect exists despite the absence of momentum. Further, we find that the contrarian portfolio returns remain positive in the short term. The evidence suggests that momentum and contrarian effects are separate anomalies.

Keywords: Momentum; Contrarian; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2014-11-06
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