Momentum trading : evidence from China (1993 - 2008).
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...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/15256 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | 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” portfolios reveals significant positive profits
on the intermediate 6 - 9 month periods. Buying the “winner” industry
and selling the “loser” industry also results in significant momentum
profits on the longer term of 9 – 12 months. Further tests conducted
within each of the 6 industries produce significant intermediate-term
profits within the ‘Properties’, ‘Utilities’ and ‘Industrials’ industries. |
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