TITLE:
The Momentum Effect in China’s Stock Market
AUTHORS:
Duan Zhao, Yifan Liu, Wansha Meng, Jun Shao, Gaiyin Wang, Qinghuan Zheng
KEYWORDS:
Stock Market, Momentum Effect, Factor Model
JOURNAL NAME:
Modern Economy,
Vol.14 No.10,
September
28,
2023
ABSTRACT: The momentum effect refers to a phenomenon that past winners will out
performance in the future. In this paper, we examine the momentum effect of China’s stock market by using a data set of
China’s stock market in 2009-2022. Focusing on Anchor (52-Week-High
momentum), VaR (left-tail momentum) and MOM (traditional cross-sectional
momentum indicator), we use single variable sorting, double variable sorting
and Fama-Macbeth regression to study the performance of the momentum strategies
mentioned above. We find that the left-tail momentum strategy produces a
significant alpha but the other two strategies do not.