Signed momentum in the Chinese stock market
Bin Guo and
Pacific-Basin Finance Journal, 2021, vol. 68, issue C
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305323
Access Statistics for this article
Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee
More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().