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dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorNartea, Gilbert V.en_NZ
dc.date.accessioned2019-01-22T03:06:05Z
dc.date.available2017en_NZ
dc.date.available2019-01-22T03:06:05Z
dc.date.issued2017en_NZ
dc.identifier.citationCheema, M. A., & Nartea, G. V. (2017). Momentum returns, market states and financial crises. Evidence from China and Hong Kong. In Information Efficiency and Anomalies in Asian Equity Markets: Theories and Evidence (pp. 138–157). Routledge.en
dc.identifier.isbn9781138195387en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/12290
dc.description.abstractThis 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.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherRoutledgeen_NZ
dc.rights© 2017 copyright with the authors.
dc.subjectMomentum returns
dc.subjectmarket states
dc.subjectGlobal Financial Crises
dc.titleMomentum returns, market states and financial crises. Evidence from China and Hong Kongen_NZ
dc.typeChapter in Book
dc.relation.isPartOfInformation Efficiency and Anomalies in Asian Equity Markets: Theories and Evidenceen_NZ
pubs.begin-page138
pubs.elements-id143648
pubs.end-page157
pubs.publisher-urlhttps://www.routledge.com/Information-Efficiency-and-Anomalies-in-Asian-Equity-Markets-Theories/Munir-Kok/p/book/9781138195387en_NZ


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