Author(s)

Duan Zhao, Yifan Liu, Wansha Meng, Jun Shao, Gaiyin Wang, Qinghuan Zheng^*

School of Business, East China University of Science and Technology, Shanghai, China.

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.

Stock Market, Momentum Effect, Factor Model

Zhao, D. , Liu, Y. , Meng, W. , Shao, J. , Wang, G. and Zheng, Q. (2023) The Momentum Effect in China’s Stock Market. Modern Economy, 14, 1288-1320. doi: 10.4236/me.2023.1410066.