Short-Term Momentum and Long-Term Reversal in Chinese Stocks

Summary

The paper examines time-series momentum and contrarian effects in mainland Chinese equities. It applies time-series momentum strategies to major stock indices and investigates whether performance is related to firm-specific characteristics. The central reported pattern is that returns exhibit momentum over shorter horizons and contrarian behavior over longer horizons.

Strategy outcomes depend strongly on the chosen look-back and holding periods, as well as on firm characteristics. This means the reported effects do not imply that one fixed horizon will work across stocks or market conditions. The excerpt does not provide the sample period, exact horizon definitions, data, transaction-cost treatment, or numerical performance results, limiting the ability to judge robustness or practical profitability. Its findings are specific to the Chinese stock market and may not transfer to other markets.

Key ideas

• The study tests time-series momentum on major mainland Chinese stock indices.
• It reports short-run momentum and long-run contrarian effects.
• Strategy performance varies with look-back and holding periods.
• Firm-specific characteristics are also related to strategy performance.
• The excerpt omits sample details and numerical results, so robustness cannot be assessed from it alone.

Tags

# Time series momentum and contrarian effects in the Chinese stock market


# Time series momentum and contrarian effects in the Chinese stock market









This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the relation between the performance of time series momentum strategies and some firm-specific characteristics. Our findings indicate that there is a time series momentum effect in the short run and a contrarian effect in the long run in the Chinese stock market. The performances of the time series momentum and contrarian strategies are highly dependent on the look-back and holding periods and firm-specific characteristics.

Shown in full with attribution under the source's licence. Licence: abstract CC0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.