Does short-term momentum exist in China?

Tian Yue, Tianjiao Li, Xinfeng Ruan*

*Corresponding author for this work

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Abstract

Medhat and Schmeling (2022) find significant short-term reversal among low-turnover stocks and short-term momentum among high-turnover stocks by double sorting on stocks’ previous month's return and share turnover. We replicate their research in the Chinese stock market and find that there is no short-term momentum but only short-term reversal exists in that market. A lack of volume that affects the ability of realized returns to predict firms’ fundamentals or investor heterogeneity might cause the absence of short-term momentum in China.

Original languageEnglish
Article number101920
JournalPacific Basin Finance Journal
Volume77
DOIs
Publication statusPublished - Feb 2023
Externally publishedYes

Keywords

  • China
  • Short-term momentum
  • Short-term reversal
  • Turnover

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Yue, T., Li, T., & Ruan, X. (2023). Does short-term momentum exist in China? Pacific Basin Finance Journal, 77, Article 101920. https://doi.org/10.1016/j.pacfin.2022.101920