Factor momentum in the Chinese stock market

Ma, Tian; Liao, Cunfei; Jiang, Fuwei

doi:10.1016/j.jempfin.2023.101458

Journal of Empirical Finance

2024

DOI: 10.1016/j.jempfin.2023.101458

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Factor momentum in the Chinese stock market

Tian Ma,

Cunfei Liao,

Fuwei Jiang

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Cited by 5 publications

References 70 publications

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Investor clientele and intraday patterns in the cross section of stock returns

Chen,

Haboub,

Khan

et al. 2024

Rev Quant Finan Acc

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This paper examines the existence of a well documented (Heston et al. in J Finance 65:1369–1407) (hereafter HKS 2010) intraday momentum pattern in the cross section of stock returns for three previously un-examined markets outside the US—UK, China and Brazil. While the stocks in UK and Brazil exhibit the pattern, the evidence from China is lacklustre. We utlitlize the presence of dual listed A-shares (dominated by domestic retail investors) and their B- and H-share counterparts (dominated by foreign institutional investors) of the same firms which provide a natural experiment setting to analyse the impact of investor clientele on the proliferation of HKS (2010) pattern. Our findings indicate that pattern is much weaker in A-shares (owned mostly by domestic retail investors) as compared to their B- and H-share counterparts. As a further robustness test we examine the impact of an exogenous shock that leads to an increase in institutional ownership namely the partial index inclusion of A-shares in the Morgan Stanley Capital International (MSCI) Emerging Markets Index. Our findings indicate an increasing level of the manifestation of the intraday pattern upon inclusion of A-shares to the MSCI.

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Investor clientele and intraday patterns in the cross section of stock returns

Chen,

Haboub,

Khan

et al. 2024

Rev Quant Finan Acc

View full text Add to dashboard Cite

show abstract

Short-term contrarian in the carbon emission market

Xin

2024

Energy Economics

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Factor momentum versus price momentum: Insights from international markets

Cakici,

Fieberg,

Metko

et al. 2025

Journal of Banking & Finance

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Factor momentum in the Chinese stock market

Cited by 5 publications

References 70 publications

Investor clientele and intraday patterns in the cross section of stock returns

Investor clientele and intraday patterns in the cross section of stock returns

Short-term contrarian in the carbon emission market

Factor momentum versus price momentum: Insights from international markets

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