The evolvement of momentum effects in China: evidence from functional data analysis

Li, B., Liu, Z., Teka, H. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 (2023) The evolvement of momentum effects in China: evidence from functional data analysis. Research in International Business and Finance, 64. 101833. ISSN 1878-3384 doi: 10.1016/j.ribaf.2022.101833

Abstract/Summary

Using an approach based on functional data analysis, we address the controversy that momentum or reversal effect disputes exist in China’s A-shares markets. It finds patterns of nonlinear cross-sectional variation and the dynamic change of average stock returns over time. After the global financial crisis of 2008, our empirical results show that momentum effects in the middle term went away and reversal effects took over. We also find substantial reversal effects for the short- (1-6 months) and long-term (3 years), respectively, but no evidence of permanent momentum effects in China.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/109131
Identification Number/DOI	10.1016/j.ribaf.2022.101833
Refereed	Yes
Divisions	Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
Publisher	Elsevier
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