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
收藏
页数：13
相关论文
共 50 条
  • [31] Aggregate profit instability and time variations in momentum returns: Evidence from China
    Yin, Libo
    Wei, Ya
    PACIFIC-BASIN FINANCE JOURNAL, 2020, 60
  • [32] An Analysis on the Environmental Effects of Exporting Trade: Evidence from Zhejiang Province of China
    Song, Haiying
    He, Lu
    Zhao, Yinde
    TECHNOLOGY FOR EDUCATION AND LEARNING, 2012, 136 : 19 - 26
  • [33] An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China
    Xiong Xiong
    Meng Yongqiang
    Li Xiao
    Shen Dehua
    FINANCE RESEARCH LETTERS, 2019, 31 : 321 - 333
  • [34] Are momentum and contrarian effects related? Evidence from the Chinese stock market
    Anusakumar, Shangkari V.
    Ali, Ruhani
    Hooy, Chee-Wooi
    ECONOMICS BULLETIN, 2014, 34 (04): : 2361 - 2367
  • [35] Tripartite Data Analysis for Optimizing Telemedicine Operations: Evidence from Guizhou Province in China
    Yu, Jinna
    Zhang, Tingting
    Liu, Zhen
    Abu Hatab, Assem
    Lan, Jing
    INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH, 2020, 17 (01)
  • [36] The nexus between urbanization and rural development in China: Evidence from panel data analysis
    Li, Yuheng
    Huang, Huiqian
    Song, Chuanyao
    GROWTH AND CHANGE, 2022, 53 (03) : 1037 - 1051
  • [37] Assessment on the effectiveness of environmental regulation in China-evidence from a panel data analysis
    Lai, Xiaodong
    Liu, Zhiming
    Luo, Sumei
    ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2020, 27 (30) : 37363 - 37376
  • [38] The environmental effects of digital economy: evidence from province-level empirical data in China
    Luo, Huanqi
    Li, Weiming
    Cai, Zhaoyang
    Luo, Hang
    ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2023, 30 (22) : 63272 - 63288
  • [39] Effects of welfare entry and exit on adolescent mental health: Evidence from panel data in China
    Huo, Xuan
    Gao, Qin
    Zhai, Fuhua
    Lin, Mingang
    SOCIAL SCIENCE & MEDICINE, 2020, 253
  • [40] The environmental effects of digital economy: evidence from province-level empirical data in China
    Huanqi Luo
    Weiming Li
    Zhaoyang Cai
    Hang Luo
    Environmental Science and Pollution Research, 2023, 30 : 63272 - 63288
12345