Show simple item record  

dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorNartea, Gilbert V.en_NZ
dc.date.accessioned2017-10-19T23:03:49Z
dc.date.available2017-09-06en_NZ
dc.date.available2017-10-19T23:03:49Z
dc.date.issued2017en_NZ
dc.identifier.citationCheema, M. A., & Nartea, G. V. (2017). Momentum, idiosyncratic volatility and market dynamics: Evidence from China. Pacific-Basin Finance Journal. https://doi.org/10.1016/j.pacfin.2017.09.001en
dc.identifier.issn0927-538Xen_NZ
dc.identifier.urihttps://hdl.handle.net/10289/11420
dc.description.abstractRecent evidence on the relation between momentum and idiosyncratic volatility (IV) in the U.S. is mixed. We verify the relation between momentum and IV in China and find at best, no relation supporting the view that idiosyncratic risk is not a significant arbitrage cost for momentum returns. While the absence of a positive relation between momentum returns and IV rejects both the underreaction and the overconfidence and self-attribution stories of momentum, we find support for the overconfidence and self-attribution story from our results on market dynamics and momentum. Our results are robust when verified in other Asian markets. We also find support for the suggestion that cross-country differences in momentum returns could be the result of differences in market dynamics rather than differences in levels of individualism as suggested earlier in the literature.en_NZ
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherElsevieren_NZ
dc.rightsThis is an author’s accepted version of an article published in the journal: Pacific-Basin Finance Journal. © 2017 Elsevier.
dc.titleMomentum, idiosyncratic volatility and market dynamics: Evidence from Chinaen_NZ
dc.typeJournal Article
dc.identifier.doi10.1016/j.pacfin.2017.09.001en_NZ
dc.relation.isPartOfPacific-Basin Finance Journalen_NZ
pubs.elements-id202770
pubs.publication-statusPublished onlineen_NZ


Files in this item

This item appears in the following Collection(s)

Show simple item record