Does short-term momentum exist in China?
Tian Yue,
Tianjiao Li and
Xinfeng Ruan
Pacific-Basin Finance Journal, 2023, vol. 77, issue C
Abstract:
Medhat and Schmeling (2022) find significant short-term reversal among low-turnover stocks and short-term momentum among high-turnover stocks by double sorting on stocks’ previous month’s return and share turnover. We replicate their research in the Chinese stock market and find that there is no short-term momentum but only short-term reversal exists in that market. A lack of volume that affects the ability of realized returns to predict firms’ fundamentals or investor heterogeneity might cause the absence of short-term momentum in China.
Keywords: Short-term momentum; Short-term reversal; Turnover; China (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002153
DOI: 10.1016/j.pacfin.2022.101920
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