Contrarian and momentum strategies in the China stock market: 1993–2000

Kang, Joseph; Liu, Minghua; Ni, Sophie Xiaoyan

doi:10.1016/s0927-538x(02)00046-x

Cited by 274 publications

(174 citation statements)

References 33 publications

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“…For instance, Kang et al (2002) suggest that the lack of rigorous stock analysis and research may have led to the perception that prices are driven by sentiment as much as by other factors. Drew et al (2003) suggest that the Chinese market is difficult to comprehend using conventional analysis.…”

Section: Introductionmentioning

confidence: 99%

Booms and Busts in China’s Stock Market: Estimates Based on Fundamentals

2010

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Section: Introductionmentioning

confidence: 99%

Booms and Busts in China’s Stock Market: Estimates Based on Fundamentals

2010

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“…The phenomena of overreaction and underreaction have been largely investigated through empirical research [3], [6]. The procedure for the empirical tests of such hypothesis along with the tests of statistic significance presented in this paper are similar to those presented in [3].…”

Section: Methodology For Empirical Tests Of Underreaction and Overmentioning

confidence: 95%

“…Some of the papers which focus on similar problems in the international stock markets are: Reference [3] for the American market, Reference [6] for the Chinese market and Reference [7] for the Brazilian market. Reference [1] examines conditions that lead to overreaction and underereaction in analysts' earnings forecasts.…”

Section: Introductionmentioning

confidence: 99%

Credit Risk Assessment and Evaluation System for Industrial Project

Kabir¹,

Jahan²,

Chisty³

et al. 2010

IJTEF

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Abstract-In this paper, empirical tests, based on the fuzzy clustering means algorithm for the analysis of overreaction and underreaction hypothesis in the American stock market are presented. Such methodology is strongly connected with two heuristics of behavioral finance theory: representativeness heuristic and anchoring heuristic. The proposed methodology is used to form portfolios through financial ratios of public companies and the results obtained are consistent with the strong influence of overreaction in the American stock market. The analysis is applied for stocks from oil and gas, textile and, steel and iron sectors, with financial indexes ranging from 1999 to 2007.

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“…On the contrary, retail investors usually do not have enough knowledge to have a good understanding of the corporate information. Besides, according to Kang et al (2002), the information reported by small companies in China's stock markets is not reliable. Rumors and investor sentiment can easily be manipulated by syndicate speculators.…”

Section: Introductionmentioning

confidence: 99%

Artificial Momentum, Native Contrarian, and Transparency in China

Lin

Hung

Huang³

2017

Comput Econ

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The Chinese stock market has a large ratio of retail investors, which is significantly different from the stock markets in the US and Europe. We have known that momentum profits exist in the latter by applying Jegadeesh and Titman's (J Financ 48:65-91, 1993) model with 6-month formation and holding periods. However, there are only a few studies on momentum profits in China. Therefore, this study examines whether the Shanghai and Shenzhen stock markets produce momentum profits. We find that these two markets have significant contrarian but not momentum profits. We also create an "artificial momentum" portfolio and follow Bhattacharya et al. (Account Rev 78:641-678, 2003) to compute the transparency indices. Our outcomes show that the corporate transparencies of the winners (losers) in the artificial momentum portfolios are close to those in the commonly-defined momentum portfolios. The averages of the decile transparencies are between 4.5 and 6.5, not only for the top 10% of winners but also for the bottom 10% of losers. According to these results, we suggest that financial transparency is irrelevant to the inertia and reversal of stock prices in the Shanghai and Shenzhen stock markets.

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Contrarian and momentum strategies in the China stock market: 1993–2000

Cited by 274 publications

References 33 publications

Booms and Busts in China’s Stock Market: Estimates Based on Fundamentals

Booms and Busts in China’s Stock Market: Estimates Based on Fundamentals

Credit Risk Assessment and Evaluation System for Industrial Project

Artificial Momentum, Native Contrarian, and Transparency in China

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