Using the most comprehensive weekly dataset of âAâ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995-2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocksâ previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a âdownâ market generates higher profit than those following an âupâ market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a âdownâ market are robust after risk adjustment.View full textDownload full textKeywordscontrarian and momentum, market states, China stock market, overreaction, common factorJEL ClassificationsG11, G14Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/14765284.2012.638473
展开▼