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This paper investigates the profitability of several types of zero-cost price momentum and contrarian strategies in the Chinese stock market for the 1994-2013 period. Several distinct features of Chinese market are documented. We find that contrarian strategies that use Jegadeesh and Titman's (1993) method with weekly frequency are profitable. However, investment strategies based on the 'nearness' to of 52-week high or the recency of the 52-week high are not profitable. Our analysis also shows that contrarian profits are higher during the crisis period of 2008-2012. In addition, the return reversal of the winner and loser portfolios suggests that contrarian profits can be attributed to overreaction. Finally, we also find evidence of herding behaviour in the Chinese market; and the degree of herding behaviour is positively correlated with the profits of contrarian trading strategies.

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Using the most comprehensive weekly dataset of 'A' shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995-2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon;(2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks' previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a 'down' market generates higher profit than those following an 'up' market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a 'down' market are robust after risk adjustment.

Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by the Shanghai Futures Exchange, allowing trading concurrently with daytime trading at the Commodity Exchange in the United States. After developing hypotheses, results for gold and silver show: trading activity has increased; liquidity in Shanghai has risen and prices are less volatile at market opening; the price discovery share of Chinese gold futures has fallen but this is not a sign of weakening market quality; and volatility spillovers increase bidirectionally. Longer trading hours have decreased market segmentation and increased information flow.