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Are momentum and contrarian effects related? Evidence from the Chinese stock market

Author

Listed:
  • Shangkari V Anusakumar

    (Universiti Sains Malaysia)

  • Ruhani Ali

    (Universiti Sains Malaysia)

  • Chee-Wooi Hooy

    (Universiti Sains Malaysia)

Abstract

Behavioral models suggest that momentum and contrarian effects are linked. We examine the two effects in the Chinese stock market over an 18-year period. The findings reveal that there is no momentum effect in China. Nevertheless, contrarian portfolio yields significant returns. In other words, contrarian effect exists despite the absence of momentum. Further, we find that the contrarian portfolio returns remain positive in the short term. The evidence suggests that momentum and contrarian effects are separate anomalies.

Suggested Citation

  • Shangkari V Anusakumar & Ruhani Ali & Chee-Wooi Hooy, 2014. "Are momentum and contrarian effects related? Evidence from the Chinese stock market," Economics Bulletin, AccessEcon, vol. 34(4), pages 2361-2367.
    • Handle: RePEc:ebl:ecbull:eb-14-00644
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    References listed on IDEAS

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    More about this item

    Keywords

    Momentum; Contrarian; Chinese stock market;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G0 - Financial Economics - - General

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