Momentum or contrarian trading strategy: Which one works better in the Chinese stock market

Lin Yu; Hung-Gay Fung; Wai Kin Leung

doi:10.1016/J.IREF.2019.03.006

Momentum or contrarian trading strategy: Which one works better in the Chinese stock market

Lin Yu
, Hung-Gay Fung
, Wai Kin Leung

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	International Review of Economics & Finance
Volume	62
DOIs	https://doi.org/10.1016/J.IREF.2019.03.006
State	Published - Jul 1 2019

Disciplines

Economics

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@article{9ee2dd71533b48cca3133d0c8a722fe6,

title = "Momentum or contrarian trading strategy: Which one works better in the Chinese stock market",

author = "Lin Yu and Hung-Gay Fung and Leung, \{Wai Kin\}",

note = "This study investigates short-horizon momentum-reversal patterns in Chinese stock markets since 2010, when investors were first permitted to engage in short sales of stocks. We use weekly returns of winner-minus-loser portfolios for stocks on the Shanghai Stock Exchange (SSE), the Shenzhen Stock Exchange (SZSE), and the SZSE Growth Enterprise Market (GEM) to examine the profitability of the trading strategy.",

year = "2019",

month = jul,

day = "1",

doi = "10.1016/J.IREF.2019.03.006",

language = "American English",

volume = "62",

journal = "International Review of Economics \& Finance",

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T1 - Momentum or contrarian trading strategy: Which one works better in the Chinese stock market

AU - Yu, Lin

AU - Fung, Hung-Gay

AU - Leung, Wai Kin

N1 - This study investigates short-horizon momentum-reversal patterns in Chinese stock markets since 2010, when investors were first permitted to engage in short sales of stocks. We use weekly returns of winner-minus-loser portfolios for stocks on the Shanghai Stock Exchange (SSE), the Shenzhen Stock Exchange (SZSE), and the SZSE Growth Enterprise Market (GEM) to examine the profitability of the trading strategy.

PY - 2019/7/1

Y1 - 2019/7/1

UR - https://www.sciencedirect.com/science/article/pii/S1059056018301928

U2 - 10.1016/J.IREF.2019.03.006

DO - 10.1016/J.IREF.2019.03.006

M3 - Article

VL - 62

JO - International Review of Economics & Finance

JF - International Review of Economics & Finance

ER -

Momentum or contrarian trading strategy: Which one works better in the Chinese stock market

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