Research on momentum and contrarian strategies of related industries in the bull and bear markets

摘要

Momentum and contrarian effects are financial anomalies and have been found on firm level. Recently, Menzly and Ozbas (2010) study momentum on cross-industry level. The paper tests momentum and contrarian strategies of related industries in the bull and bear markets based on data of Chinese stock market. First, we construct returns of supplier and customer of industries by using the Input-Output accounts and the Chinese stock data from 2000 to 2009. Second, the paper defines the bull and bear markets in two ways. Finally, we test momentum and contrarian effects of related industries in the bull and bear markets with different market definition. We find that momentum and contrarian effects are consistent in different market states. The portfolio sorted by customer industries mainly exhibits momentum effects and the portfolio sorted by supplier industries exhibits contrarian effects.