DocumentCode
2112571
Title
On the existence of inertial and reversal effects in China stock market of the post share structure reform
Author
Zhang, Danmin ; Yao, Minglong
Author_Institution
Department of management, Business School of shuren University, Hangzhou, China
fYear
2010
fDate
4-6 Dec. 2010
Firstpage
5947
Lastpage
5950
Abstract
Contrarian and Momentum are the strongest and most puzzling asset-pricing anomalies in stock market. We investigates the performance of winner and loser portfolio in China stock market after the share structure reform in this paper. The results reveal that there is the contrarian effect only in loser portfolio; while the momentum effect is observed only in winner portfolio.
Keywords
Business; Educational institutions; Finance; Portfolios; Security; Stock markets; contrarian effect; momentum effect; post stock structure reform;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location
Hangzhou, China
Print_ISBN
978-1-4244-7616-9
Type
conf
DOI
10.1109/ICISE.2010.5689815
Filename
5689815
Link To Document