Institutional ownership and momentum in the Chinese A-share market

Tao Xiong and Peng Wang

Pacific-Basin Finance Journal, 2023, vol. 79, issue C

Abstract: We propose momentum strategies conditional on institutional ownership in China. Portfolios in the strategies only contain stocks with high institutional ownership to reduce disturbance from individual investors. Noise or irrational trading from individual investors covers up the co-movement of stock prices and blocks the expression of the momentum effect. Unlike the benchmark strategies, which generate statistically insignificant returns, our momentum strategies produce 111 significant returns out of the 144 strategies being tested. The effect is stronger if we consider the shell-value contamination. The existence of the momentum effect conditional on institutional ownership is also confirmed by regressions.

Keywords: Momentum effect; Chinese stock market; Institutional ownership; Shell contamination (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000860

DOI: 10.1016/j.pacfin.2023.102020

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