Investor heterogeneity and momentum-based trading strategies in China

被引：21
|
作者：
Gao, Ya [1 ]
Han, Xing [2 ]
Li, Youwei [3 ]
Xiong, Xiong [4 ,5 ]
机构：
[1] Dalian Univ Technol, Sch Econ & Management, Dalian 116024, Peoples R China
[2] Univ Auckland, Business Sch, 12 Grafton Rd, Auckland 1010, New Zealand
[3] Univ Hull, Hull Univ Business Sch, Kingston Upon Hull HU6 7RX, N Humberside, England
[4] Tianjin Univ, Coll Management & Econ, 92 Weijin Rd, Tianjin 300072, Peoples R China
[5] China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2021年 / 74卷
基金：
中国国家自然科学基金;
关键词：
Investor heterogeneity; Intraday return; Overnight return; Momentum; CROSS-SECTION; RETURNS; SIZE;
D O I：
10.1016/j.irfa.2020.101654
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The conventional momentum strategy performs poorly overall in China, because stock prices behave very differently when markets are open for trading versus when they are closed. Stocks that are past intraday (overnight) winners persistently outperform those that are past intraday (overnight) losers in the subsequent intraday (overnight) periods. However, the same intraday- (overnight-) momentum strategy suffers dramatically in the subsequent overnight (intraday) periods. Further analysis shows that past intraday (overnight) winners tend to be more (less) speculative stocks which are highly demanded during the day (night). Overall, our results are consistent with investor heterogeneity, and this persistent tug of war virtually eliminates the effectiveness of investors pursuing the momentum-based trading strategy in China.
引用
收藏
页数：18
相关论文
共 50 条
  • [1] Do momentum-based trading strategies work in emerging currency markets?
    Tajaddini, Reza
    Crack, Timothy Falcon
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2012, 22 (03): : 521 - 537
  • [2] Do Momentum-Based Trading Strategies Work in the Commodity Futures Markets?
    Narayan, Paresh Kumar
    Ahmed, Huson Ali
    Narayan, Seema
    JOURNAL OF FUTURES MARKETS, 2015, 35 (09) : 868 - 891
  • [3] Investor heterogeneity and trading
    Knyazeva, Anzhela
    Knyazeva, Diana
    Kostovetsky, Leonard
    EUROPEAN FINANCIAL MANAGEMENT, 2018, 24 (04) : 680 - 718
  • [4] Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies
    Crossland, Jarrod
    Li, Bin
    Roca, Eduardo
    APPLIED ENERGY, 2013, 109 : 10 - 23
  • [5] The momentum ambiguity and investor trading behavior
    Wang, Lunyi
    Yang, Shiqi
    Zhao, Sibo
    ECONOMICS LETTERS, 2024, 235
  • [6] Do momentum-based strategies work in emerging currency markets?
    Chong, Terence Tai-Leung
    Ip, Hugo Tak-Sang
    PACIFIC-BASIN FINANCE JOURNAL, 2009, 17 (04) : 479 - 493
  • [7] Do momentum-based strategies still work in foreign currency markets?
    Okunev, J
    White, D
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2003, 38 (02) : 425 - 447
  • [8] Can Momentum-Based Control Predict Human Balance Recovery Strategies?
    Bayon, C.
    Emmens, A. R.
    Afschrift, M.
    Van Wouwe, T.
    Keemink, A. Q. L.
    van der Kooij, H.
    van Asseldonk, E. H. F.
    IEEE TRANSACTIONS ON NEURAL SYSTEMS AND REHABILITATION ENGINEERING, 2020, 28 (09) : 2015 - 2024
  • [9] The Way to Invest: Trading Strategies Based on ARIMA and Investor Personality
    Tang, Xiaoyu
    Xu, Sijia
    Ye, Hui
    SYMMETRY-BASEL, 2022, 14 (11):
  • [10] Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies
    Silva, Thiago Christiano
    Tabak, Benjamin Miranda
    Ferreira, Idamar Magalhaes
    COMPLEXITY, 2019, 2019
12345