Accepted version, 398.5Kb
Publicly accessible from 2019-07-01
Cheema, M. A., & Nartea, G. V. (2017). Momentum returns, market states and market dynamics: Is China different? International Review of Economics and Finance, 50, 85–97. https://doi.org/10.1016/j.iref.2017.04.003
Permanent Research Commons link: http://hdl.handle.net/10289/11238
Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the absence of momentum returns following UP markets in China cannot be explained by market dynamics, unlike in the U.S. Third, momentum returns in China are higher when the market continues in the same state than when it transitions to the other state as in the U.S. but this is true in China only following DOWN states.
This is an author’s accepted version of an article published in the journal: International Review of Economics and Finance. © 2017 Elsevier.
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