This chapter investigates the profitability of the momentum trading strategy in the stock exchanges of Shanghai, Shenzhen and Hong Kong over the period 1994 to 2010. Our results show that there are significantly large momentum returns for Shanghai and Hong Kong but small and insignificant momentum returns for Shenzhen. However, the momentum trading generates negative returns for all markets during the Global Financial Crisis; it appears that the momentum trading strategy fails during a financial or stock market crisis and especially in the months when the market conditions improve. We find no significant relationship between momentum returns and market states, which contradicts the results of an earlier study conducted in the U.S. market. Instead of market state it appears that it is economic activity that explains momentum returns.