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
- 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/).
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 - 10.2991/ictim-17.2017.61 ID - Zhao2017/09 ER -