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Industry Momentum Strategies in A-shares Market

In: Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)

Author

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  • Guiquan Lin

    (Hohai University, School of Business)

Abstract

We apply industry momentum strategies to A-shares market to investigate the profitability of industry momentum in China. Setting Shenwan industry classification as a standard, we use 30 industries from 2010 to 2019 as a sample. Results suggest ranking industries based on the previous 6-month returns yields higher profits than based on the 3-month, 9-month and 12-month returns, on this basis holding portfolios for 6 months help investors obtain substantial and stable profits. Besides, we find skipping one month between formation period and holding period barely improve performance.

Suggested Citation

  • Guiquan Lin, 2022. "Industry Momentum Strategies in A-shares Market," Advances in Economics, Business and Management Research, in: Faruk Balli & Au Yong Hui Nee & Sikandar Ali Qalati (ed.), Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), pages 1123-1130, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-052-7_126
    DOI: 10.2991/978-94-6463-052-7_126
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