An Analysis of Investment Strategies and Excess Returns in the China (Shanghai) Stock Market

Ming-Chin Chin and Ya-Chuan Chan

Asian Economic and Financial Review, 2017, vol. 7, issue 12, 1227-1241

Abstract: The purpose of this paper is to understand the linkages between excess returns and four investment strategies - value, momentum, size, and liquidity - for the China stock market during the period 2003-2015, by applying the methodology proposed by Jegadeesh and Titman (2001) and Hart et al. (2003) and using data obtained from the Shanghai stock exchange (SSE) and Taiwan Economic Journal (TEJ). The empirical results suggest that a value strategy such as book to market value (B/M) ratio, as well as momentum, liquidity, and size strategies can all help investors make better judgments, in contrast to a strategy based on the price-earnings (P/E) ratio that does not help when investing in the China stock market. Moreover, we recommend that investors who want to make a significant profit in the China stock market should refer to momentum strategies and buy winner stocks and sell loser stocks.

Keywords: China stock market; Excess returns; Investment strategy; Liquidity strategy; Momentum strategy; Size strategy; Value strategy (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/1639/2398 (application/pdf)

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:asi:aeafrj:v:7:y:2017:i:12:p:1227-1241:id:1639

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().