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

Li, B., Liu, Z., Teka, H. and Wang, S. ORCID: (2022) The evolvement of momentum effects in China: evidence from functional data analysis. Research in International Business and Finance. 101833. ISSN 0275-5319 (In Press)

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To link to this item DOI: 10.1016/j.ribaf.2022.101833


Unlike developed securities markets, momentum or reversal effect disputes in China’s A-shares markets. Using an approach based on functional data analysis, we address this controversy in an effort to reconcile earlier inconsistencies. It identifies nonlinear cross-sectional variation patterns as well as the dynamic time-series evolution of average stock returns. Our empirical findings give persuasive evidence that mid-term momentum effects disappeared and reversal effects dominated the market after the 2008 global financial crisis. 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
Divisions:Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
ID Code:109131

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