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Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators

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  • Yensen Ni
  • Yi-Ching Liao
  • Paoyu Huang

Abstract

We explore whether investors earn profits through the use of stochastic oscillator indicators (SOI) for trading stocks. The results reveal that investors might use momentum strategies when trading constituent stocks of SSE 50 as the overbought trading signals emitted by SOI. We infer that the results might be caused by herding behaviors of Chinese investors since overoptimistic moods are likely to exist as evidenced by the 80 percent trading volume traded by individual investors in the Chinese stock market.

Suggested Citation

  • Yensen Ni & Yi-Ching Liao & Paoyu Huang, 2015. "Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(S1), pages 99-110, January.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:s1:p:s99-s110
    DOI: 10.1080/1540496X.2014.998916
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    Cited by:

    1. Day, Min-Yuh & Ni, Yensen & Huang, Paoyu, 2019. "Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 349-372.
    2. Yensen Ni & Yirung Cheng & Yulu Liao & Paoyu Huang, 2022. "Does board structure affect stock price overshooting informativeness measured by stochastic oscillator indicators?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2290-2302, April.
    3. Ni, Yensen & Cheng, Yirung & Huang, Paoyu & Day, Min-Yuh, 2018. "Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 501(C), pages 188-204.
    4. Phil Maguire & Karl Moffett & Rebecca Maguire, 2018. "Combining Independent Smart Beta Strategies for Portfolio Optimization," Papers 1808.02505, arXiv.org, revised Aug 2018.

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