Time series momentum and contrarian effects in the Chinese stock market
arXiv:1702.07374 · doi:10.1016/j.physa.2017.04.139
Abstract
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the relation between the performance of time series momentum strategies and some firm-specific characteristics. Our findings indicate that there is a time series momentum effect in the short run and a contrarian effect in the long run in the Chinese stock market. The performances of the time series momentum and contrarian strategies are highly dependent on the look-back and holding periods and firm-specific characteristics.
arXiv comment11 Latex pages including 1 figure and 4 tables
References in corpus (2)
Cited by in corpus (4)
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