The Momentum Effect in China’s Stock Market
نویسندگان
چکیده
The momentum effect refers to a phenomenon that past winners will out performance in the future. In this paper, we examine of China’s stock market by using data set 2009-2022. Focusing on Anchor (52-Week-High momentum), VaR (left-tail momentum) and MOM (traditional cross-sectional indicator), use single variable sorting, double sorting Fama-Macbeth regression study strategies mentioned above. We find left-tail strategy produces significant alpha but other two do not.
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ژورنال
عنوان ژورنال: Modern Economy
سال: 2023
ISSN: ['2152-7245', '2152-7261']
DOI: https://doi.org/10.4236/me.2023.1410066