dc.contributor.author | Li, Bin | |
dc.contributor.author | Qiu, Judy | |
dc.contributor.author | Wu, Yanhui | |
dc.date.accessioned | 2018-11-12T12:30:56Z | |
dc.date.available | 2018-11-12T12:30:56Z | |
dc.date.issued | 2010 | |
dc.date.modified | 2011-02-03T07:00:11Z | |
dc.identifier.issn | 1986-4094 | |
dc.identifier.uri | http://hdl.handle.net/10072/35168 | |
dc.description.abstract | In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum/contrarian trading strategies using monthly stock returns in China for the period from 1994 to 2007. Our results suggest that there is no momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past winners become losers and past losers become winners afterward. The contrarian profit is statistically significant for the strategies using short formation and holding periods, especially for the formation periods of 1 to 3 months and the holding periods of 1 to 3 months. The contrarian strategies can generate about 12% per annum on average. Moreover, we follow Heston and Sadka (2008, Journal of Financial Economics) to investigate where there is any seasonal pattern in the cross-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the results are robust to different formation and holding periods. | |
dc.description.peerreviewed | Yes | |
dc.description.publicationstatus | Yes | |
dc.format.extent | 139129 bytes | |
dc.format.mimetype | application/pdf | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | EuroJournals | |
dc.publisher.place | United Kingdom | |
dc.publisher.uri | http://www.eurojournals.com/jmib_17_02.pdf | |
dc.relation.ispartofstudentpublication | N | |
dc.relation.ispartofpagefrom | 24 | |
dc.relation.ispartofpageto | 36 | |
dc.relation.ispartofissue | 17 | |
dc.relation.ispartofjournal | Journal of Money, Investment and Banking | |
dc.relation.ispartofvolume | 2010 | |
dc.rights.retention | Y | |
dc.subject.fieldofresearch | Investment and Risk Management | |
dc.subject.fieldofresearch | Banking, Finance and Investment | |
dc.subject.fieldofresearchcode | 150205 | |
dc.subject.fieldofresearchcode | 1502 | |
dc.title | Momentum and seasonality in Chinese stock markets | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.faculty | Griffith Business School, Department of Accounting, Finance and Economics | |
gro.rights.copyright | © 2010 EuroJournals Publishing, Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version. | |
gro.date.issued | 2010 | |
gro.hasfulltext | Full Text | |
gro.griffith.author | Li, Bin | |