Momentum trading : evidence from China (1993 - 2008).

• Main Authors: Wong, Jia Hui., Choo, Wee Jia., Tjheng, Johny.
• Other Authors: Chang Xin
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/15256
• Institution: Nanyang Technological University

This paper adds to the evidence of momentum profits in the Chinese stock market by carrying out 16 momentum trading strategies that basically buy “winners” and short “losers” portfolios ranked base on past stock returns over the period of 1993 to 2008. Analysis of the “winners” minus “losers” po...