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Weekly momentum by return interval ranking

Li Pan, Ya Tang and Jianguo Xu

Pacific-Basin Finance Journal, 2013, vol. 21, issue 1, 1191-1208

Abstract: Existing research does not find significant momentum profits in many emerging markets including China. We propose an alternative momentum strategy which groups stocks into return intervals rather than percentiles. We apply the method to the China A-share market and find economically significant momentum profits in weekly returns, but not in monthly returns. The weekly momentum lasts for about 1year. More than half of the profit is realized in the first 3weeks. We apply the method to other Asian equity markets and find significant weekly momentum in Hong Kong, Taiwan, Korea, Thailand, and Indonesia. These findings suggest that momentum may exist in different formats in different markets. Existence of momentum in a closed equity market like China supports momentum is pervasive in short-term stock returns.

Keywords: Weekly momentum; Return interval ranking; Emerging market (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:21:y:2013:i:1:p:1191-1208

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