The momentum effect in China stock market

Abstract

Compared with the market, value, or size factor, momentum has offered investors the highest Sharpe ratio. However, in the research of domestic stock market, Chinese scholars find momentum profit exists only in the forming period and holding period within 4 weeks in China stock market. I find the momentum profits of domestic A shares are insignificantly negative using the monthly data, and after risk management, the domestic momentum has been slightly improved. Especially, the Sharpe ratio of the risk-managed momentum strategy has been greatly improved, changed from negative to positive.