Daily Momentum and New Investors in an Emerging Stock Market

Zhenyu Gao, Wenxi Jiang, Wei A. Xiong and Wei Xiong
Authors registered in the RePEc Author Service: Wei Xiong

No 31839, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Despite the dominance of retail investors in the Chinese stock market, there’s a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic analysis of trading heterogeneity among investors, links daily momentum to the attention and trading activities of new investors—a phenomenon particularly significant in emerging stock markets. Furthermore, our findings indicate the existence of daily price momentum in various other emerging markets, contrasting with its relative scarcity in developed ones.

JEL-codes: G02 G4 G40 (search for similar items in EconPapers)
Date: 2023-11
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-mst
Note: AP
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nber.org/papers/w31839.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.

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:nbr:nberwo:31839

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w31839
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().