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A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis

Cao, Ruanmin; Horváth, Lajos; Liu, Zhenya; Zhao, Yuqian - In: Review of quantitative finance and accounting 54 (2020) 1, pp. 335-358

Persistent link: https://www.econbiz.de/10012232846

Time Series Momentum and Reversal : Intraday Information from Realized Semivariance

Liu, Zhenya - 2020

The presence of time series momentum effect has been widely documented in the financial markets across asset classes and countries. We find a predictable pattern of the realized semi-variance to the future individual asset return, especially during the stressed states of time series momentum...

Persistent link: https://www.econbiz.de/10012836027

Time series momentum and reversal : intraday information from realized semivariance

Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77

Persistent link: https://www.econbiz.de/10014476799

Industry momentum with correlation consolidation : evidence from China

Boubaker, Sabri; Du, Lechuan; Liu, Zhenya - In: The journal of asset management : a major new, … 23 (2022) 1, pp. 73-82

Persistent link: https://www.econbiz.de/10013170893

Investor behavior and filter rule revisiting

Liu, Zhenya; Zhan, Yaosong - In: Journal of behavioral and experimental finance 33 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013442201