Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023)

<Previous Article In Volume
Next Article In Volume>

An Empirical Test of Momentum Effect on the Chinese Market during COVID period

Authors
Kaiwen Wu1, *
1School of Economics & Management, South China Normal University, Guangzhou, 510631, Guangdong, China
*Corresponding author. Email: wkw13825002870@163.com
Corresponding Author
Kaiwen Wu
Available Online 30 November 2023.
DOI
10.2991/978-94-6463-298-9_34How to use a DOI?
Keywords
Momentum; Reversal; Individual stocks; Industries; Chinese market; COVID-19
Abstract

Our research analyzes momentum effects in the Chinese stock market during the COVID period from 2020 to 2023. We studied over 5000 Chinese A-share stocks categorized into 306 industry sectors to identify momentum and reversal effects in both individual stocks and industries. Our primary research follows the traditional construction of winner-loser groups. Results indicate that individual stock portfolios exhibit profits only when the formation period is one week, with diminishing earnings as the formation and holding periods increase. Reversal effects are observed in most cases, with the winner group showing a stronger impact than the loser group. In contrast, industry portfolios show different patterns of changes between momentum and reversal. Specifically, industry portfolios display short-term momentum effects, generating profits within one month, followed by reversal effects over longer periods. However, the magnitude of gains and losses in industry portfolios is smaller compared to individual stocks.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

<Previous Article In Volume
Next Article In Volume>
Volume Title
Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
30 November 2023
ISBN
978-94-6463-298-9
ISSN
2352-5428
DOI
10.2991/978-94-6463-298-9_34How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Kaiwen Wu
PY  - 2023
DA  - 2023/11/30
TI  - An Empirical Test of Momentum Effect on the Chinese Market during COVID period
BT  - Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023)
PB  - Atlantis Press
SP  - 307
EP  - 317
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-298-9_34
DO  - 10.2991/978-94-6463-298-9_34
ID  - Wu2023
ER  -