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Concept Momentum in the Chinese Stock Market

Li, Zhiyong - 2018

market in other countries, we notice a unique phenomenon in China that investors usually chase after hot topics wherever …

Persistent link: https://www.econbiz.de/10012924804

Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : Evidence from the Chinese stock market

Shi, Huai-Long; Zhou, Wei-Xing - 2021

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum and...

Persistent link: https://www.econbiz.de/10013225739

Framing Effects in the Chinese Stock Market : A Test of New Measurement to Firm-Special Behavioral Characteristic

Xie, Jun - 2020

This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...

Persistent link: https://www.econbiz.de/10012827659

News Tone and Stock Return in Chinese Market

ge, Huimin; Zhang, Xiaoyan - 2022

This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict...

Persistent link: https://www.econbiz.de/10013308962

Information Content of Order Flow and Cross-Market Portfolio Rebalancing : Evidence for the Chinese Stock, Treasury and Corporate Bond Markets

Girardin, Eric - 2010

and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange …

Persistent link: https://www.econbiz.de/10013141987

Cross-sectional Return Predictability in Indian Stock Market : An Empirical Investigation

Goswami, Gautam - 2021

This paper provides a comprehensive analysis of stock return predictability in the Indian stock market by employing both the portfolio and cross-sectional regressions methods using the data from January 1994 and ending in December 2018. We find strong predictive power of size, cash-flow-to-price...

Persistent link: https://www.econbiz.de/10013230227

Evaluation of Weak-Form Efficient Market Hypothesis in Zimbabwe Stock Exchange during Pandemic Period

Bonga, Wellington Garikai; Chimwai, Ledwin; Choga, Ireen - 2023

Stock markets, just like other sectors of businesses have been impacted by the COVID-19 pandemic. COVID-19 has caused things to change in some sort; behavior, culture, and economy. Investors’ behavior and expectations may have been shaken. Huge stock market dislocations may have occurred as...

Persistent link: https://www.econbiz.de/10014350838

Momentum Returns, Market States, and Market Dynamics : Is China Different?

Cheema, Muhammad A. - 2017

Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different …. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the … absence of momentum returns following UP markets in China cannot be explained by market dynamics, unlike in the U.S. Third …

Persistent link: https://www.econbiz.de/10012960215

The Profitability and Investment Factors in the Chinese Stock Market

Hou, Fangfang - 2019

We construct the five factors in Fama and French (FF, 2015) and the four factors in Hou, Xue, and Zhang (HXZ, 2015) for the Chinese stock market. Our objective is to identify a parsimonious factor model that builds on these factors and provides an adequate explanation for time-series and...

Persistent link: https://www.econbiz.de/10012902389

Do Macroeconomics Matter to Chinese Stock Returns?

Chan, Kalok - 2020

We investigate whether macroeconomics factors price Chinese stock returns. We find that GDP growth and momentum factor demand negative pricing premiums after controlling for market, value and size factors. The negative pricing of GDP growth is robust after controlling for momentum factor, the...

Persistent link: https://www.econbiz.de/10012850712