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Aversion of information ambiguity and momentum effect in China’s stock market

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  • Yuandong Xu

Abstract

Purpose - – The empirical studies have indicated that the information uncertainty is one of the reasons leading to the momentum effect in the stock market. Based on this conclusion, the concept of “information uncertainty” is deepened into the concept hierarchy of “information ambiguity,” the purpose of this paper is to explain the momentum effect in the China’s stock market from information ambiguity. Design/methodology/approach - – Based on the information ambiguity, the paper puts forward two hypotheses, portfolio analysis and cross-sectional regression analysis method were used to empirically test these hypothesis based on the weekly data. Findings - – The empirical results support the two hypotheses. Originality/value - – Finally, the paper discusses the importance from ambiguity to understand financial anomalies, such as momentum effect.

Suggested Citation

  • Yuandong Xu, 2016. "Aversion of information ambiguity and momentum effect in China’s stock market," China Finance Review International, Emerald Group Publishing Limited, vol. 6(2), pages 125-149, May.
    • Handle: RePEc:eme:cfripp:v:6:y:2016:i:2:p:125-149
    DOI: 10.1108/CFRI-06-2015-0066
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    Citations

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    Cited by:

    1. Gao, Ya & Xiong, Xiong & Feng, Xu, 2020. "Responsible investment in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 52(C).
    2. Yan, Yumeng & Xiong, Xiong & Meng, J. Ginger & Zou, Gaofeng, 2019. "Uncertainty and IPO initial returns: Evidence from the Tone Analysis of China’s IPO Prospectuses," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    3. Cai, Mingchao & Chen, Zhihong, 2019. "Does country background risk matter to the strategic asset allocation of sovereign wealth funds?," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    4. Kostyantyn MALYSHENKO & Vadim MALYSHENKO & Elena Yu. PONOMAREVA & Marina ANASHKINA, 2019. "Analysis of the stock market anomalies in the context of changing the information paradigm," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 239-270, June.

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