Contrarian and Momentum Strategies in Shanghai and Shenzhen 300 Stocks

Abstract

This article reports a study that analyzes financial data of Chinese's stock market in hushen300 during 2009 to 2010. The article aims to examine whether the contrarian or momentum investment strategies can bring abnormal returns, and the results suggest significantly momentum in hushen300 index. It is useful for the investors to grasp the characteristics of China's stock market and take effective strategies.