Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)

Empirical Research on the Effectiveness of Momentum Strategies in Shanghai Stock Market

Authors
Zhenyu Zhao, Xiemin Liao
Corresponding Author
Zhenyu Zhao
Available Online September 2017.
DOI
https://doi.org/10.2991/ictim-17.2017.61How to use a DOI?
Keywords
Momentum strategies, contrarian strategies, market adjustment model
Abstract

The effectiveness of momentum strategies and contrarian strategies is an important component to reflect market characteristics. This paper employs the market adjustment model, which segmentally examines the effectiveness of the momentum strategies of the Shanghai stock market from July 2014 to April 2016. The empirical results show that the contrarian strategies are remarkably effective in the full cycle. The momentum strategies are effective in short term of bull cycle, while contrarian strategies are more applicable to bear market.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
September 2017
ISBN
978-94-6252-405-7
ISSN
2352-5428
DOI
https://doi.org/10.2991/ictim-17.2017.61How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Zhenyu Zhao
AU  - Xiemin Liao
PY  - 2017/09
DA  - 2017/09
TI  - Empirical Research on the Effectiveness of Momentum Strategies in Shanghai Stock Market
BT  - Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)
PB  - Atlantis Press
SP  - 794
EP  - 810
SN  - 2352-5428
UR  - https://doi.org/10.2991/ictim-17.2017.61
DO  - https://doi.org/10.2991/ictim-17.2017.61
ID  - Zhao2017/09
ER  -