Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/11938
Title: Contrarian strategy and herding behaviour in the Chinese stock market
Authors: Chen, Q
Hua, X
Jiang, Y
Keywords: Momentum;Contrarian;Herding;Overreaction;China
Issue Date: 2015
Publisher: Taylor & Francis
Citation: The European Journal of Finance, pp. 1 - 20, (2015)
Abstract: This paper investigates the profitability of several types of zero-cost price momentum and contrarian strategies in the Chinese stock market for the 1994–2013 period. Several distinct features of Chinese market are documented.We find that contrarian strategies that use Jegadeesh and Titman’s (1993)method with weekly frequency are profitable. However, investment strategies based on the ‘nearness’ to of 52-week high or the recency of the 52-week high are not profitable. Our analysis also shows that contrarian profits are higher during the crisis period of 2008–2012. In addition, the return reversal of the winner and loser portfolios suggests that contrarian profits can be attributed to overreaction. Finally, we also find evidence of herding behaviour in the Chinese market; and the degree of herding behaviour is positively correlated with the profits of contrarian trading strategies.
URI: http://www.tandfonline.com/doi/full/10.1080/1351847X.2015.1071715
http://bura.brunel.ac.uk/handle/2438/11938
DOI: http://dx.doi.org/10.1080/1351847X.2015.1071715
ISSN: 1351-847X
1466-4364
Appears in Collections:Dept of Economics and Finance Research Papers

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