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Momentum and seasonality in Chinese stock markets

Li, Bin , Qiu, Judy , & Wu, Yanhui (2010) Momentum and seasonality in Chinese stock markets. Journal of Money Investment and Banking, pp. 24-36.

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    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.

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    ID Code: 38422
    Item Type: Journal Article
    Additional URLs:
    Keywords: Momentum, Market efficiency, Seasonality, Emerging market
    ISSN: 1450-288X
    Subjects: Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Finance (150201)
    Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Investment and Risk Management (150205)
    Divisions: Current > QUT Faculties and Divisions > QUT Business School
    Current > Schools > School of Economics & Finance
    Copyright Owner: Copyright 2010 EuroJournals Publishing, Inc.
    Deposited On: 10 Nov 2010 08:21
    Last Modified: 01 Mar 2012 00:20

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