Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083063 | International Review of Economics & Finance | 2017 | 35 Pages |
Abstract
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, momentum returns in China are higher when the market continues in the same state than when it transitions to the other state as in the U.S. but this is true in China only following DOWN states.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Muhammad A. Cheema, Gilbert V. Nartea,