The evolvement of momentum effects in China: Evidence from functional data analysis

被引：3

作者：

Li, Bo ^{[1
]}

Liu, Zhenya ^{[2
,3
,4
]}

Teka, Hanen ^{[5
]}

Wang, Shixuan ^{[6
]}

机构：

[1] Beijing Int Studies Univ, Business Sch, Beijing 100024, Peoples R China

[2] Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China

[3] Renmin Univ China, China Financial Policy Res Ctr, Beijing 100872, Peoples R China

[4] Aix Marseille Univ, CERGAM, Aix en Provence, France

[5] Imam Abdulrahman Bin Faisal Univ, Dept Basic Sci, Deanship Preparatory Year & Supporting Studies, POB 1982, Dammam, Saudi Arabia

[6] Univ Reading, Dept Econ, Reading, England

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2023年 / 64卷

关键词：

Momentum effects; China?s A-shares market; Functional data analysis; Circular block bootstrap; STOCK-MARKET; STRATEGIES; RETURNS; ANATOMY; RISK;

D O I：

10.1016/j.ribaf.2022.101833

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using an approach based on functional data analysis, we address the controversy that momen-tum or reversal effect disputes exist in China's A-shares markets. It finds patterns of nonlinear cross-sectional variation and the dynamic change of average stock returns over time. After the global financial crisis of 2008, our empirical results show that momentum effects in the middle term went away and reversal effects took over. We also find substantial reversal effects for the short-(1-6 months) and long-term (3 years), respectively, but no evidence of permanent momentum effects in China.

引用

页数：13

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