{"title":"沪深300指数成分股动量效应实证研究","authors":"Pingping Wang","doi":"10.1109/ICMSS.2010.5575609","DOIUrl":null,"url":null,"abstract":"Making reference to method of the abroad research, selecting the stocks from Shanghai and Shenzhen 300 index, we redo the research about the price momentum effects in China stock market with stocks' monthly return between Jan.2007 and Dec.2009. Under the assumption of short selling, we find significant momentum effect with the forming and holding period of 3-12 months and on the contrary find significant contrarian effect with forming period of 1 month.","PeriodicalId":329390,"journal":{"name":"2010 International Conference on Management and Service Science","volume":"5 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Empirical Research on Momentum Effect in Stocks from Shanghai and Shenzhen 300 Index\",\"authors\":\"Pingping Wang\",\"doi\":\"10.1109/ICMSS.2010.5575609\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Making reference to method of the abroad research, selecting the stocks from Shanghai and Shenzhen 300 index, we redo the research about the price momentum effects in China stock market with stocks' monthly return between Jan.2007 and Dec.2009. Under the assumption of short selling, we find significant momentum effect with the forming and holding period of 3-12 months and on the contrary find significant contrarian effect with forming period of 1 month.\",\"PeriodicalId\":329390,\"journal\":{\"name\":\"2010 International Conference on Management and Service Science\",\"volume\":\"5 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-09-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2010 International Conference on Management and Service Science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICMSS.2010.5575609\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2010 International Conference on Management and Service Science","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICMSS.2010.5575609","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Empirical Research on Momentum Effect in Stocks from Shanghai and Shenzhen 300 Index
Making reference to method of the abroad research, selecting the stocks from Shanghai and Shenzhen 300 index, we redo the research about the price momentum effects in China stock market with stocks' monthly return between Jan.2007 and Dec.2009. Under the assumption of short selling, we find significant momentum effect with the forming and holding period of 3-12 months and on the contrary find significant contrarian effect with forming period of 1 month.
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