34 citations · 115 across the 5 of their papers we have counts for
5 papers
Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market
Huai-Long Shi, Wei-Xing Zhou
This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese…
Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
H. -L. Shi, W. -X. Zhou
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the…
Time series momentum and contrarian effects in the Chinese stock market
Huai-Long Shi, Wei-Xing Zhou
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 m…
Time-varying return predictability in the Chinese stock market
Huai-Long Shi, Zhi-Qiang Jiang, Wei-Xing Zhou
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear…
Profitability of contrarian strategies in the Chinese stock market
Huai-Long Shi, Zhi-Qiang Jiang, Wei-Xing Zhou
This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchang…