Momentum And Industry-Dependence: The Case Of Shanghai Stock Exchange Market.

Author(s)

Salvio .Elias. Macha ,

Download Full PDF Pages: 100-108 | Views: 339 | Downloads: 102 | DOI: 10.5281/zenodo.3441893

Volume 2 - December 2013 (12)

Abstract

A number of scholars have shown that future stock returns are predictable based on past returns in many international security markets. Developing strategies to benefit from these autocorrelations of security returns and finding reasons for the abnormal positive returns resulting from trading strategies are major objectives of investment research. This paper sought to analyze the profitability of momentum strategies in the Shanghai stock market over the period from December 2007 until February 2012. Controlling for market returns and for transaction costs, it was found that investors using momentum strategies could have indeed generated superior returns during that time period. In addition, the paper analyzed whether the returns of momentum strategies involving Shanghai stocks are industry-dependent. The findings suggest that momentum in the Shanghai stock market is clearly driven by high-technology stocks with financial sectors showing worst performances over that period. 

Keywords

Momentum (stock) returns, Shanghai, Capital asset pricing model, abnormal returns and transaction costs

References

  1. Jegadeesh, N. and Titman, S. (1993) returns to buying winners and selling losers: Implication for stock market efficiency. Journal of Finance 48(1): 65–91.
  2. Chan, L., Jegadeesh, N. and Lakonishok, J. (1996) feasible momentum strategies in the US stock mark Journal of Asset Management Vol. 11, 6, 362–374.
  3. Andy C.W. Chui, Sheridan Titman, and K.C. John Wei (2010) individualism and Momentum around the World, the journal of finance • vol. lxv, no. 1.
  4. Fama, E. (1970) efficient capital markets: A review of theory and empirical works. Journal of Finance 25(2): 383–417.
  5. Yue-Chin Chen and John Wei-Shan (2011) the Performance of Momentum Investment StrategiesHuInternational Journal of Management Vol. 28 No. 4 Part 1 Dec 2011
  6. Abdulaziz M. Alwathainani (2011) Consistent winners and losers, journal of International Review of Economics and Finance International Review of Economics and Finance 21 (2012) 210–220.
  7. Dongwei Su (2011) an empirical analysis of industry momentum in chinese stock markets emerging markets finance & trade / july–august 2011, vol. 47, no. 4, pp. 4–27.

Cite this Article: