Momentum effect and contrarian effect in China's A-share market, under registration-based system

Wenli Huang, Fengbo Zhou, Chenkang Yu, Yue Hu, Hong Zhang and Yueling Xu

Pacific-Basin Finance Journal, 2023, vol. 81, issue C

Abstract: This study examines two questions: first, the existence of momentum and contrarian effects on the growth enterprises market (GEM), since the implementation of the registration-based system in China; second, the influence of different cross-sectional characteristics of companies on the two effects. By constructing a momentum effect model with China's A-share market data, and analyzing the impacts of the issuance registration system on momentum and contrarian effects, we find a short-term momentum effect in the A-share market, which weakens until disappearance in the longer term. However, due to the reform, the effect on GEM changed from momentum to contrarian; companies with low market capitalization, low liquid market capitalization, low price-to-book ratio and high turnover rate were found prone to the contrarian effect. Analysis based on the registration system can help government regulators formulate current policies and make constructive recommendations for investors.

Keywords: Momentum effect; Contrarian effect; Registration-based system (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X2300197X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x2300197x

DOI: 10.1016/j.pacfin.2023.102126

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().