Industry momentum with correlation consolidation: evidence from China

被引：2

作者：

Boubaker, Sabri ^{[1
,2
]}

Du, Lechuan ^{[3
]}

Liu, Zhenya ^{[3
,4
,5
]}

机构：

[1] EM Normandie Business Sch, Metis Lab, Le Havre, France

[2] Vietnam Natl Univ, Int Sch, Hanoi, Vietnam

[3] Renmin Univ China, Sch Finance, Beijing, Peoples R China

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

[5] Aix Marseille Univ, CERGAM, Aix En Provence, France

来源：

JOURNAL OF ASSET MANAGEMENT | 2022年 / 23卷 / 01期

关键词：

Momentum effect; Industry momentum; China stock market; MARKET; REVERSALS;

D O I：

10.1057/s41260-021-00248-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Momentum-based strategies are widely used by asset managers and have attracted considerable research interest. This paper studies industry momentum from the perspective of correlation consolidation, which consolidates industries according to the correlation coefficient of their historical returns and assesses momentum effects after the consolidation. Studying all Chinese stocks listed on the Shanghai and Shenzhen A-share market with a sample range from June 1, 2007, to December 31, 2020, empirical results show that monthly returns of the industry momentum and Sharpe ratio after the correlation consolidation both increase. The optimal method for consolidating industries is to use the correlation coefficient of 0.75, which increases the Sharpe ratio from 0.71 before the correlation consolidation to 1.16.

引用

页码：73 / 82

页数：10

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