Research on Long-lasting Momentum Factor in Weekly Returns of the Chinese Stock Market

DOI

10.2991/aebmr.k.220603.070How to use a DOI?

Keywords

A-share market; Reversal; Weekly return; Momentum

Abstract

The momentum effect has always been a hot topic in the research of the stock market by domestic and foreign scholars. In 2008, Roberto found that in the American stock market, an inverse and long-lasting continuation in returns ensues from the well-documented brief reversal. Besides, evidence demonstrates that these sequent momentum profits are robust enough to neutralize the reversal and to engender a distinct momentum effect over the year following portfolio formation. This article had a worldwide influence and shock in the field of stock market research at that time. Based on the research results Roberto’s, this paper explores whether there are short-term reversals and subsequent long-lasting momentum effects in the weekly return data of Chinese stock market from 2010 to 2018. The finding is that neither short-term reversal nor long-term momentum is significant in Chinese stock market, and in the aspect of stock returns, the size effect is a more explanatory variable.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

Download article (PDF)

TY  - CONF
AU  - Haoze Li
PY  - 2022
DA  - 2022/07/01
TI  - Research on Long-lasting Momentum Factor in Weekly Returns of the Chinese Stock Market
BT  - Proceedings of the 2022 2nd International Conference on Enterprise Management and Economic Development (ICEMED 2022)
PB  - Atlantis Press
SP  - 429
EP  - 435
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220603.070
DO  - 10.2991/aebmr.k.220603.070
ID  - Li2022
ER  -