Industry Momentum Strategies in A-shares Market

DOI

10.2991/978-94-6463-052-7_126How to use a DOI?

Keywords

Industry momentum strategies; Double sort; A-shares market

Abstract

We apply industry momentum strategies to A-shares market to investigate the profitability of industry momentum in China. Setting Shenwan industry classification as a standard, we use 30 industries from 2010 to 2019 as a sample. Results suggest ranking industries based on the previous 6-month returns yields higher profits than based on the 3-month, 9-month and 12-month returns, on this basis holding portfolios for 6 months help investors obtain substantial and stable profits. Besides, we find skipping one month between formation period and holding period barely improve performance.

Copyright

© 2022 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Guiquan Lin
PY  - 2022
DA  - 2022/12/27
TI  - Industry Momentum Strategies in A-shares Market
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 1123
EP  - 1130
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_126
DO  - 10.2991/978-94-6463-052-7_126
ID  - Lin2022
ER  -