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
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;
Conference_Titel :
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location :
Hangzhou, China
Print_ISBN :
978-1-4244-7616-9
DOI :
10.1109/ICISE.2010.5689815
