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Daily Momentum and New Investors in an Emerging Stock Market

Author

Listed:
  • Zhenyu Gao
  • Wenxi Jiang
  • Wei A. Xiong
  • Wei Xiong

Abstract

Despite the dominance of retail investors in the Chinese stock market, there’s a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic analysis of trading heterogeneity among investors, links daily momentum to the attention and trading activities of new investors—a phenomenon particularly significant in emerging stock markets. Furthermore, our findings indicate the existence of daily price momentum in various other emerging markets, contrasting with its relative scarcity in developed ones.

Suggested Citation

  • Zhenyu Gao & Wenxi Jiang & Wei A. Xiong & Wei Xiong, 2023. "Daily Momentum and New Investors in an Emerging Stock Market," NBER Working Papers 31839, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:31839
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    More about this item

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G4 - Financial Economics - - Behavioral Finance
    • G40 - Financial Economics - - Behavioral Finance - - - General

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