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Signed momentum in the Chinese stock market

Ya Gao, Bin Guo and Xiong Xiong

Pacific-Basin Finance Journal, 2021, vol. 68, issue C

Abstract: This study uncovers a comprehensive result of short-term momentum in the Chinese stock market. Using the traditional method to construct the momentum strategy, we find momentum performance in China is strongly related to market states, which exists when the market continues in the same state during the formation to holding periods; reverses when the market transits in two periods. By combing the traditional momentum with market dynamics, we propose a signed momentum strategy, which gains significant portfolio returns and cannot be fully explained by traditional asset-pricing factors. Our signed momentum strategy can provide practical advice for market participants.

Keywords: Short-term momentum; Market dynamic; Signed momentum (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305323

DOI: 10.1016/j.pacfin.2020.101433

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