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Momentum returns, market states and market dynamics: Is China different?
Abstract
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.
Type
Journal Article
Type of thesis
Series
Citation
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
Date
2017
Publisher
Elsevier BV
Degree
Supervisors
Rights
This is an author’s accepted version of an article published in the journal: International Review of Economics and Finance. © 2017 Elsevier.