The Momentum Effect in China’s Stock Market

Abstract

The momentum effect refers to a phenomenon that past winners will out performance in the future. In this paper, we examine the momentum effect of China’s stock market by using a data set of China’s stock market in 2009-2022. Focusing on Anchor (52-Week-High momentum), VaR (left-tail momentum) and MOM (traditional cross-sectional momentum indicator), we use single variable sorting, double variable sorting and Fama-Macbeth regression to study the performance of the momentum strategies mentioned above. We find that the left-tail momentum strategy produces a significant alpha but the other two strategies do not.