The evolvement of momentum effects in China: Evidence from functional data analysis

Bo Li, Zhenya Liu, Hanen Teka and Shixuan Wang

Research in International Business and Finance, 2023, vol. 64, issue C

Abstract: Using an approach based on functional data analysis, we address the controversy that momentum or reversal effect disputes exist in China’s A-shares markets. It finds patterns of nonlinear cross-sectional variation and the dynamic change of average stock returns over time. After the global financial crisis of 2008, our empirical results show that momentum effects in the middle term went away and reversal effects took over. We also find substantial reversal effects for the short- (1-6 months) and long-term (3 years), respectively, but no evidence of permanent momentum effects in China.

Keywords: Momentum effects; China’s A-shares market; Functional data analysis; Circular block bootstrap (search for similar items in EconPapers)
JEL-codes: C31 C32 C51 G12 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002197

DOI: 10.1016/j.ribaf.2022.101833

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