Research ArticleOpen AccessGoogle Scholar indexed
The Momentum Effect in China’s Stock Market
School of Business, East China University of Science and Technology, Shanghai, China
School of Business, East China University of Science and Technology, Shanghai, China
School of Business, East China University of Science and Technology, Shanghai, China
School of Business, East China University of Science and Technology, Shanghai, China
School of Business, East China University of Science and Technology, Shanghai, China
School of Business, East China University of Science and Technology, Shanghai, China
- 1 School of Business, East China University of Science and Technology, Shanghai, China
- 2 School of Business, East China University of Science and Technology, Shanghai, China
- 3 School of Business, East China University of Science and Technology, Shanghai, China
- 4 School of Business, East China University of Science and Technology, Shanghai, China
- 5 School of Business, East China University of Science and Technology, Shanghai, China
- 6 School of Business, East China University of Science and Technology, Shanghai, China
Modern Economy·Volume 14 (2023)·Pages 1288–1320·Published 26 September 2023·DOI10.4236/me.2023.1410066
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Abstract
The momentum effect refers to a phenomenon that past winners will out performance in the future. In this paper, we examine the momentum effect of China’s stock market by using a data set of China’s stock market in 2009-2022. Focusing on Anchor (52-Week-High momentum), VaR (left-tail momentum) and MOM (traditional cross-sectional momentum indicator), we use single variable sorting, double variable sorting and Fama-Macbeth regression to study the performance of the momentum strategies mentioned above. We find that the left-tail momentum strategy produces a significant alpha but the other two strategies do not.
KeywordsStock MarketMomentum EffectFactor Model
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