This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results ndicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices - very little...

Several studies provide theoretic analysis of agents' motivations for trading in financial markets. Broadly speaking, these studies imply that trading volume results from (i) information flows, (ii) cross-sectional differences in agents' assessment of value, and (iii) agents' random liquidity...

This study utilizes both real-time transaction prices and bid-ask quotes in evaluating the profitability of arbitrage strategies for the Hong Kong index futures and index options market. Taking into account the bid-ask spread in identifying arbitrage opportunities, we avoid the selection bias...

We examine the trading behavior of Chinese domestic investors after they were given access to the B-share market in 2001. Surprisingly, we find that only 2% of investors began buying B shares. Even among these 2%, investors were less likely to buy B shares if they had more experience in the...

Using a unique dataset from the Chinese stock market that keeps track of daily number of shareholders, we find that ownership breadth (proxied by number of shareholders) is negatively related to stock price volatility. However, consistent with the previous literature on volatility-volume...

We extend previous studies on the effect of behavioral biases on investor hold/sell decisions, and examine whether behavioral biases affect the order submission strategies. We use a unique database provided by the Shanghai Stock Exchange, which contains order submissions and executions as well...

This paper investigates whether investors can exploit the contrarian cycle to improve the profitability of momentum strategies. We conjecture that the momentum strategies implemented in the early stage of price reversal (MSES) are more profitable than those implemented in the late stage of price...

We further investigate and provide interpretation for the intriguing Brock, Lakonishok, and LeBaron (1992) finding that simple forms of technical analysis contain significant forecast power for US equity index returns. We document that the forecast ability is partially, but not solely,...

We extend previous studies on the effect of behavioral biases on investor hold/sell decisions, and examine whether behavioral biases affect the order submission strategies. We use a unique database provided by the Shanghai Stock Exchange, which contains order submissions and executions as well...

Cross-sectional stock return predictability has always been an intriguing issue for the researchers as it relates to a number of resilient puzzles in finance. This paper provides a comprehensive analysis on the stock return predictability in China form January 1994 to March 2011 by employing...