Title :
Empirical Research on Momentum Effect in Stocks from Shanghai and Shenzhen 300 Index
Author_Institution :
Sch. of Inf. Technol., Jiangxi Univ. of Finance & Econ., Nanchang, China
Abstract :
Making reference to method of the abroad research, selecting the stocks from Shanghai and Shenzhen 300 index, we redo the research about the price momentum effects in China stock market with stocks´ monthly return between Jan.2007 and Dec.2009. Under the assumption of short selling, we find significant momentum effect with the forming and holding period of 3-12 months and on the contrary find significant contrarian effect with forming period of 1 month.
Keywords :
pricing; stock markets; China stock market; Shanghai 300 index; Shenzhen 300 index; abroad research; price momentum effects; time 1 month; time 3 month to 12 month; Companies; Indexes; Investments; Portfolios; Profitability; Stock markets;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5575609
