Research on momentum and contrarian strategies of related industries in the bull and bear markets

Author

Wang Su-sheng ; Li Zhi-chao

Author_Institution

Shenzhen Grad. Sch., Dept. of Econ. & Manage., Harbin Inst. of Technol., Harbin, China

fYear

2013

fDate

17-19 July 2013

Firstpage

1752

Lastpage

1757

Abstract

Momentum and contrarian effects are financial anomalies and have been found on firm level. Recently, Menzly and Ozbas (2010) study momentum on cross-industry level. The paper tests momentum and contrarian strategies of related industries in the bull and bear markets based on data of Chinese stock market. First, we construct returns of supplier and customer of industries by using the Input-Output accounts and the Chinese stock data from 2000 to 2009. Second, the paper defines the bull and bear markets in two ways. Finally, we test momentum and contrarian effects of related industries in the bull and bear markets with different market definition. We find that momentum and contrarian effects are consistent in different market states. The portfolio sorted by customer industries mainly exhibits momentum effects and the portfolio sorted by supplier industries exhibits contrarian effects.

Keywords

investment; profitability; stock markets; Chinese stock market data; bear market; bull market; contrarian strategy; customer industry; customer returns; financial anomaly; input-output accounts; market state; momentum strategy; related industries; supplier returns; Business; Educational institutions; Finance; Industries; Portfolios; Stock markets; bear market; bull market; contrarian; momentum;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering (ICMSE), 2013 International Conference on

Conference_Location

Harbin

ISSN

2155-1847

Print_ISBN

978-1-4799-0473-0

Type

conf

DOI

10.1109/ICMSE.2013.6586503

Filename

6586503