DocumentCode
2134885
Title
Empirical Research on Momentum Effect in Stocks from Shanghai and Shenzhen 300 Index
Author
Wang, Pingping
Author_Institution
Sch. of Inf. Technol., Jiangxi Univ. of Finance & Econ., Nanchang, China
fYear
2010
fDate
24-26 Aug. 2010
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICMSS.2010.5575609
Filename
5575609
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