Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators

Yensen Ni, Yi-Ching Liao and Paoyu Huang

Emerging Markets Finance and Trade, 2015, vol. 51, issue S1, S99-S110

Abstract: We explore whether investors earn profits through the use of stochastic oscillator indicators (SOI) for trading stocks. The results reveal that investors might use momentum strategies when trading constituent stocks of SSE 50 as the overbought trading signals emitted by SOI. We infer that the results might be caused by herding behaviors of Chinese investors since overoptimistic moods are likely to exist as evidenced by the 80 percent trading volume traded by individual investors in the Chinese stock market.

Date: 2015
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DOI: 10.1080/1540496X.2014.998916

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