Momentum returns, market states, and market dynamics: Is China different?

Muhammad Cheema and Gilbert Nartea

International Review of Economics & Finance, 2017, vol. 50, issue C, 85-97

Abstract: Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the absence of momentum returns following UP markets in China cannot be explained by market dynamics, unlike in the U.S. Third, momentum returns in China are higher when the market continues in the same state than when it transitions to the other state as in the U.S. but this is true in China only following DOWN states.

Keywords: Momentum returns; Market states; Market dynamics; China (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:50:y:2017:i:c:p:85-97

DOI: 10.1016/j.iref.2017.04.003

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