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Weekly momentum by return interval ranking

Citations

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Cited by:

  1. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 309-318.
  2. Shi, Huai-Long & Zhou, Wei-Xing, 2021. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  3. Limkriangkrai, Manapon & Chai, Daniel & Zheng, Gaoping, 2023. "Market intraday momentum: APAC evidence," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  4. Muhammad Usman Arshad, 2021. "Forecasted E/P Ratio and ROE: Shanghai Stock Exchange (SSE), China," SAGE Open, , vol. 11(2), pages 21582440211, June.
  5. Mingwei Sun & Paskalis Glabadanidis, 2022. "Can technical indicators predict the Chinese equity risk premium?," International Review of Finance, International Review of Finance Ltd., vol. 22(1), pages 114-142, March.
  6. Gang, Jianhua & Qian, Zongxin & Xu, Tiange, 2019. "Investment horizons, cash flow news, and the profitability of momentum and reversal strategies in the Chinese stock market," Economic Modelling, Elsevier, vol. 83(C), pages 364-371.
  7. Yang, Yunlin & Gebka, Bartosz & Hudson, Robert, 2019. "Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies," Research in International Business and Finance, Elsevier, vol. 47(C), pages 78-101.
  8. Yao, Shouyu & Qin, Yuanyuan & Cheng, Feiyang & Wu, Ji(George) & Goodell, John.W., 2022. "Missing momentum in China: Considering individual investor preference," Finance Research Letters, Elsevier, vol. 49(C).
  9. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2021. "Investor heterogeneity and momentum-based trading strategies in China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  10. Zhang, Zhehao & Xing, Ruina & Liu, Jiajun & Shao, Yifei, 2023. "Correlation-based investment strategies: A comparison between Chinese and US stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  11. Huai-Long Shi & Zhi-Qiang Jiang & Wei-Xing Zhou, 2015. "Profitability of Contrarian Strategies in the Chinese Stock Market," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-22, September.
  12. Bronzini, Raffaello & D’Ignazio, Alessio & Revelli, Davide, 2022. "Financial structure and bank relationships of Italian multinational firms," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
  13. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
  14. Yi, Li & He, Lei, 2016. "False discoveries in style timing of Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 194-208.
  15. Bob Li & Mong Shan Ee & Mamunur Rashid, 2016. "Is momentum trading profitable from Shari'ah compliant stocks?," Review of Financial Economics, John Wiley & Sons, vol. 31(1), pages 56-63, November.
  16. Bui, Dien Giau & Kong, De-Rong & Lin, Chih-Yung & Lin, Tse-Chun, 2023. "Momentum in machine learning: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  17. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 397-407.
  18. A. Balakrishnan, 2016. "Size, Value, and Momentum Effects in Stock Returns: Evidence from India," Vision, , vol. 20(1), pages 1-8, March.
  19. Li, Bob & Ee, Mong Shan & Rashid, Mamunur, 2016. "Is momentum trading profitable from Shari'ah compliant stocks?," Review of Financial Economics, Elsevier, vol. 31(C), pages 56-63.
  20. Yue, Tian & Li, Tianjiao & Ruan, Xinfeng, 2023. "Does short-term momentum exist in China?," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  21. Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
  22. Cheema, Muhammad A. & Nartea, Gilbert V., 2014. "Momentum returns and information uncertainty: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 173-188.
  23. Cheema, Muhammad A. & Nartea, Gilbert V., 2017. "Momentum, idiosyncratic volatility and market dynamics: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 109-123.
  24. Gao, Ya & Guo, Bin & Xiong, Xiong, 2021. "Signed momentum in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  25. Zhang, Wei & Wang, Guanying & Wang, Xingchun & Xiong, Xiong & Lei, Xuan, 2018. "Profitability of reversal strategies: A modified version of the Carhart model in China," Economic Modelling, Elsevier, vol. 69(C), pages 26-37.
  26. Raza, Ahmad & Marshall, Ben R. & Visaltanachoti, Nuttawat, 2014. "Is there momentum or reversal in weekly currency returns?," Journal of International Money and Finance, Elsevier, vol. 45(C), pages 38-60.
  27. Xiong, Haifang & Yang, Gaofei & Wang, Zhiqiang, 2022. "Factor portfolio and target volatility management: An analysis of portfolio performance in the U.S. and China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 493-517.
  28. Li, Yan & Liang, Chao & L.D. Huynh, Toan, 2022. "A new momentum measurement in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  29. Chen Su, 2021. "A comprehensive investigation into style momentum strategies in China," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 101-144, March.
  30. Han, Chunmao & Shi, Yongdong, 2022. "Chinese stock anomalies and investor sentiment," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  31. Liu, Chenye & Wu, Ying & Zhu, Dongming, 2022. "Price overreaction to up-limit events and revised momentum strategies in the Chinese stock market," Economic Modelling, Elsevier, vol. 114(C).
  32. Cheema, Muhammad A. & Nartea, Gilbert V., 2017. "Momentum returns, market states, and market dynamics: Is China different?," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 85-97.
  33. Yujie Zhu & Tieqi Wang, 2017. "Deriving momentum strategies in Chinese stock Market: Using Gene Expression Programming," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-4.
  34. Xiong, Tao & Wang, Peng, 2023. "Institutional ownership and momentum in the Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  35. Yao, Haixiang & Xia, Shenghao & Liu, Hao, 2022. "Six-factor asset pricing and portfolio investment via deep learning: Evidence from Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
  36. Ma, Tian & Liao, Cunfei & Jiang, Fuwei, 2024. "Factor momentum in the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 75(C).
  37. Yang, Jinyu & Dong, Dayong & Cao, Jiawei, 2024. "Seemingly manipulated anomaly: Evidence from corporate site visits," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
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