Missing momentum in China: Considering individual investor preference

Shouyu Yao, Yuanyuan Qin, Feiyang Cheng, Ji Wu and John.W. Goodell

Finance Research Letters, 2022, vol. 49, issue C

Abstract: We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.

Keywords: Financial markets; Market anomalies; Individual investors; Momentum (search for similar items in EconPapers)
JEL-codes: G02 G12 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003348

DOI: 10.1016/j.frl.2022.103110

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