Notice of RetractionThe mechanism of stock market´s heterogeneity on financial anomalies: From the momentum effect perspective

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.