Industry Momentum Strategies in A-shares Market

Guiquan Lin ()
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Guiquan Lin: Hohai University, School of Business

A chapter in Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), 2022, pp 1123-1130 from Springer

Abstract: Abstract We apply industry momentum strategies to A-shares market to investigate the profitability of industry momentum in China. Setting Shenwan industry classification as a standard, we use 30 industries from 2010 to 2019 as a sample. Results suggest ranking industries based on the previous 6-month returns yields higher profits than based on the 3-month, 9-month and 12-month returns, on this basis holding portfolios for 6 months help investors obtain substantial and stable profits. Besides, we find skipping one month between formation period and holding period barely improve performance.

Keywords: Industry momentum strategies; Double sort; A-shares market (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-052-7_126

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DOI: 10.2991/978-94-6463-052-7_126

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