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dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorNartea, Gilbert V.en_NZ
dc.date.accessioned2017-07-27T22:19:00Z
dc.date.available2017en_NZ
dc.date.available2017-07-27T22:19:00Z
dc.date.issued2017en_NZ
dc.identifier.citationCheema, 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.2017.04.003en
dc.identifier.issn1059-0560en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/11238
dc.description.abstractRecent 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.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherElsevier BVen_NZ
dc.relation.urihttps://doi.org/10.1016/j.iref.2017.04.003
dc.rightsThis is an author’s accepted version of an article published in the journal: International Review of Economics and Finance. © 2017 Elsevier.
dc.subjectMomentum returns
dc.subjectMarket states
dc.subjectMarket dynamics
dc.subjectChina
dc.titleMomentum returns, market states and market dynamics: Is China different?en_NZ
dc.typeJournal Article
dc.identifier.doi10.1016/j.iref.2017.04.003en_NZ
dc.relation.isPartOfInternational Review of Economics and Financeen_NZ
pubs.begin-page85
pubs.elements-id194949
pubs.end-page97
pubs.publisher-urlhttp://www.sciencedirect.com/science/article/pii/S1059056017302885en_NZ
pubs.volume50en_NZ


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