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| Momentum Effect Differs Across Stock Performances:Chinese Evidence | |
| 作者姓名： | Zhao-yuan LI Si-bo LIU Mao-zai TIAN |
| 基金项目： | Supported in part by National Natural Science Foundation of China {No.11271368）, Beijing Philosophy and Social Science Foundation Grant （No.12JGB051）, Project of Ministry of Education supported by the Specialized Research Fund for the Doctoral Program of Higher Education of China （Grant No. 20130004110007） , The Key Program of National Philosophy and Social Science Foundation Grant （No. 13AZD064）, Fundamental Research Funds for the Central Universities and the Research Funds of Renmin University of China （No.10XNK025） and China Statistical Research Project （No. 2011LZ031）. |
| 摘 要： | Prior empirical studies find positive and negative momentum effect across the global nations, but few focus on explaining the mixed results. In order to address this issue, we apply the quantile regression approach to analyze the momentum effect in the context of Chinese stock market in this paper. The evidence suggests that the momentum effect in Chinese stock is not stable across firms with different levels of performance. We find that negative momentum effect in the short and medium horizon （3 months and 9 months） increases with the quantile of stock returns. And the positive momentum effect is observed in the long horizon （12 months）, which also intensifies for the high performing stocks. According to our study, momentum effect needs to be examined on the basis of stock returns. OLS estimation, which gives an exclusive and biased result, provides misguiding intuitions for momentum effect across the global nations. Based on the empirical results of quantile regression, effective risk control strategies can also be inspired by adjusting the proportion of assets with past performances. |
| 关 键 词： | 动量 中国 证据 分位数回归 表演 库存 性能稳定 OLS估计 |
Momentum effect differs across stock performances: Chinese evidence |
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| Zhao-yuan LI,Si-bo LIU,Mao-zai TIAN.Momentum Effect Differs Across Stock Performances:Chinese Evidence[J].Acta Mathematicae Applicatae Sinica,2014,30(2):279-288. | |
| Authors: | Zhao-yuan Li Si-bo Liu Mao-zai Tian |
| Institution: | 1. Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, Hong Kong 2. Department of Finance and Insurance, Lingnan University, Tuen Mun, New Territories, Hong Kong 3. Center for Applied Statistics, School of Statistics, Renmin University of China, Beijing, 100872, China 4. School of Statistics, Lanzhou University of Finance and Economics, Lanzhou, 730101, China |
| Abstract: | Prior empirical studies find positive and negative momentum effect across the global nations, but few focus on explaining the mixed results. In order to address this issue, we apply the quantile regression approach to analyze the momentum effect in the context of Chinese stock market in this paper. The evidence suggests that the momentum effect in Chinese stock is not stable across firms with different levels of performance. We find that negative momentum effect in the short and medium horizon (3 months and 9 months) increases with the quantile of stock returns. And the positive momentum effect is observed in the long horizon (12 months), which also intensifies for the high performing stocks. According to our study, momentum effect needs to be examined on the basis of stock returns. OLS estimation, which gives an exclusive and biased result, provides misguiding intuitions for momentum effect across the global nations. Based on the empirical results of quantile regression, effective risk control strategies can also be inspired by adjusting the proportion of assets with past performances. |
| Keywords: | chinese stock market investment strategy momentum effect quantile regression |
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