Skip to main content

Research Repository

Advanced Search

Investor heterogeneity and momentum-based trading strategies in China

Gao, Ya; Han, Xing; Li, Youwei; Xiong, Xiong

Authors

Ya Gao

Xing Han

Xiong Xiong



Abstract

The conventional momentum strategy performs poorly overall in China, because stock prices behave very differently when markets are open for trading versus when they are closed. Stocks that are past intraday (overnight) winners persistently outperform those that are past intraday (overnight) losers in the subsequent intraday (overnight) periods. However, the same intraday- (overnight-) momentum strategy suffers dramatically in the subsequent overnight (intraday) periods. Further analysis shows that past intraday (overnight) winners tend to be more (less) speculative stocks which are highly demanded during the day (night). Overall, our results are consistent with investor heterogeneity, and this persistent tug of war virtually eliminates the effectiveness of investors pursuing the momentum-based trading strategy in China.

Citation

Gao, Y., Han, X., Li, Y., & Xiong, X. (2021). Investor heterogeneity and momentum-based trading strategies in China. International review of financial analysis, 74, Article 101654. https://doi.org/10.1016/j.irfa.2020.101654

Journal Article Type Article
Acceptance Date Dec 8, 2020
Online Publication Date Dec 14, 2020
Publication Date 2021-03
Deposit Date Dec 16, 2020
Publicly Available Date Mar 29, 2024
Journal International Review of Financial Analysis
Print ISSN 1057-5219
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 74
Article Number 101654
DOI https://doi.org/10.1016/j.irfa.2020.101654
Keywords Investor heterogeneity; Intraday return; Overnight return; Momentum
Public URL https://hull-repository.worktribe.com/output/3679202
Publisher URL https://www.sciencedirect.com/science/article/abs/pii/S1057521920302957?via%3Dihub

Files





You might also like



Downloadable Citations