Aversion of information ambiguity and momentum effect in China’s stock market

Yuandong Xu

China Finance Review International, 2016, vol. 6, issue 2, 125-149

Abstract: Purpose - – The empirical studies have indicated that the information uncertainty is one of the reasons leading to the momentum effect in the stock market. Based on this conclusion, the concept of “information uncertainty” is deepened into the concept hierarchy of “information ambiguity,” the purpose of this paper is to explain the momentum effect in the China’s stock market from information ambiguity. Design/methodology/approach - – Based on the information ambiguity, the paper puts forward two hypotheses, portfolio analysis and cross-sectional regression analysis method were used to empirically test these hypothesis based on the weekly data. Findings - – The empirical results support the two hypotheses. Originality/value - – Finally, the paper discusses the importance from ambiguity to understand financial anomalies, such as momentum effect.

Keywords: Ambiguity aversion; Underreaction; Behavioural finance model; Information ambiguity; Momentum effect (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:cfripp:v:6:y:2016:i:2:p:125-149

DOI: 10.1108/CFRI-06-2015-0066

Access Statistics for this article

China Finance Review International is currently edited by Professor Chongfeng Wu and Professor Haitao Li

More articles in China Finance Review International from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().