Chen, Qiwei; Jiang, Ying; Li, Yuan - In: Journal of Chinese Economic and Business Studies 10 (2012) 1, pp. 89-108
Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995--2010. We find statistically significant profits from contrarian strategies, especially during the period...