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
收藏
页码：73 / 82
页数：10
相关论文
共 50 条
  • [11] Bank consolidation and competitiveness: Empirical evidence from the Korean banking industry
    Shin, Dong Jin
    Kim, Brian H. S.
    JOURNAL OF ASIAN ECONOMICS, 2013, 24 : 41 - 50
  • [12] Intraday time-series momentum: Evidence from China
    Jin, Muzhao
    Kearney, Fearghal
    Li, Youwei
    Yang, Yung Chiang
    JOURNAL OF FUTURES MARKETS, 2020, 40 (04) : 632 - 650
  • [13] Option prices and stock market momentum: evidence from China
    Li, Jianping
    Yao, Yanzhen
    Chen, Yibing
    Lee, Cheng-Few
    QUANTITATIVE FINANCE, 2018, 18 (09) : 1517 - 1529
  • [14] Momentum, idiosyncratic volatility and market dynamics: Evidence from China
    Cheema, Muhammad A.
    Nartea, Gilbert V.
    PACIFIC-BASIN FINANCE JOURNAL, 2017, 46 : 109 - 123
  • [15] Intraday momentum and stock return predictability: Evidence from China
    Zhang, Yaojie
    Ma, Feng
    Zhu, Bo
    ECONOMIC MODELLING, 2019, 76 : 319 - 329
  • [16] China rare earth industry consolidation settled
    China Rare Earth Information, 2015, (01) : 2 - 4
  • [17] Interregional industrial transfer, industrial correlation spillover, and productivity: evidence from China's textile industry
    Li, Chunmei
    Wu, Jingya
    Amos, Chinyakwa
    Su, Yingzhe
    APPLIED ECONOMICS, 2024, 56 (37) : 4492 - 4506
  • [18] Regional Bank Consolidation and SMEs' Credit Availability: Evidence from China
    Hou, Xiaohui
    He, Wei
    Ke, Kong-Lin
    COMPLEXITY, 2021, 2021
  • [19] The impact of industry consolidation on government procurement: Evidence from Department of Defense contracting
    Carril, Rodrigo
    Duggan, Mark
    JOURNAL OF PUBLIC ECONOMICS, 2020, 184
  • [20] Study on the spatial correlation effects and influencing factors of carbon emissions from the electricity industry: a fresh evidence from China
    Bai, Muren
    Li, Cunbin
    ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2023, 30 (53) : 113364 - 113381
12345