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dc.contributor.authorLi, Bin
dc.contributor.authorQiu, Judy
dc.contributor.authorWu, Yanhui
dc.date.accessioned2018-11-12T12:30:56Z
dc.date.available2018-11-12T12:30:56Z
dc.date.issued2010
dc.date.modified2011-02-03T07:00:11Z
dc.identifier.issn1986-4094
dc.identifier.urihttp://hdl.handle.net/10072/35168
dc.description.abstractIn 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.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent139129 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherEuroJournals
dc.publisher.placeUnited Kingdom
dc.publisher.urihttp://www.eurojournals.com/jmib_17_02.pdf
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom24
dc.relation.ispartofpageto36
dc.relation.ispartofissue17
dc.relation.ispartofjournalJournal of Money, Investment and Banking
dc.relation.ispartofvolume2010
dc.rights.retentionY
dc.subject.fieldofresearchInvestment and Risk Management
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150205
dc.subject.fieldofresearchcode1502
dc.titleMomentum and seasonality in Chinese stock markets
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith 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.issued2010
gro.hasfulltextFull Text
gro.griffith.authorLi, Bin


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