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Does short-term momentum exist in China?

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Listed:
  • Yue, Tian
  • Li, Tianjiao
  • Ruan, Xinfeng

Abstract

Medhat and Schmeling (2022) find significant short-term reversal among low-turnover stocks and short-term momentum among high-turnover stocks by double sorting on stocks’ previous month’s return and share turnover. We replicate their research in the Chinese stock market and find that there is no short-term momentum but only short-term reversal exists in that market. A lack of volume that affects the ability of realized returns to predict firms’ fundamentals or investor heterogeneity might cause the absence of short-term momentum in China.

Suggested Citation

  • Yue, Tian & Li, Tianjiao & Ruan, Xinfeng, 2023. "Does short-term momentum exist in China?," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    • Handle: RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002153
    DOI: 10.1016/j.pacfin.2022.101920
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    More about this item

    Keywords

    Short-term momentum; Short-term reversal; Turnover; China;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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