DocumentCode
1649978
Title
Notice of Retraction
The mechanism of stock market´s heterogeneity on financial anomalies: From the momentum effect perspective
Author
Jiang, Jijiao ; Cheng, Junheng ; Sun, Tongtong
Author_Institution
School of Management, Northwestern Polytechnical University, Xi´an, China
fYear
2011
Firstpage
1
Lastpage
4
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
This paper calculated 812 stocks´ daily average return of SSE A-shares during July 1, 2006 to December 31, 2009. By adopting overlapping sampling method, we computed out 70 group data of winners, losers and momentum strategies value, which come from cross-combination of 3, 6, 9, 12, 15 and 24 months´ developing period and holding period of institutional investors and personal investors. After t-test, we find that momentum effect is not obvious in short term; price reversals exist and institutional investors under react in long term in Chinese stock market.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
This paper calculated 812 stocks´ daily average return of SSE A-shares during July 1, 2006 to December 31, 2009. By adopting overlapping sampling method, we computed out 70 group data of winners, losers and momentum strategies value, which come from cross-combination of 3, 6, 9, 12, 15 and 24 months´ developing period and holding period of institutional investors and personal investors. After t-test, we find that momentum effect is not obvious in short term; price reversals exist and institutional investors under react in long term in Chinese stock market.
Keywords
Arrays; Educational institutions; Finance; Gaussian distribution; Portfolios; Stock markets; financial anomalies; heterogeneity; momentum effect; price reversals; stock market;
fLanguage
English
Publisher
ieee
Conference_Titel
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location
Shanghai, China
Print_ISBN
978-1-4244-8691-5
Type
conf
DOI
10.1109/ICEBEG.2011.5882254
Filename
5882254
Link To Document