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      Momentum returns, market states and market dynamics: Is China different?

      Cheema, Muhammad A.; Nartea, Gilbert V.
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      IREF_accepted.pdf
      Accepted version, 398.5Kb
      DOI
       10.1016/j.iref.2017.04.003
      Link
       doi.org
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      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: https://hdl.handle.net/10289/11238
      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.
      Date
      2017
      Type
      Journal Article
      Publisher
      Elsevier BV
      Rights
      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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      • Management Papers [1134]
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