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DC Field | Value | Language |
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dc.contributor.author | Chen, Q | - |
dc.contributor.author | Jiang, Y | - |
dc.contributor.author | Li, Y | - |
dc.date.accessioned | 2014-09-10T09:27:57Z | - |
dc.date.available | 2014-09-10T09:27:57Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Journal of Chinese Economic and Business Studies, 10(1), 89 - 108, 2012 | en_US |
dc.identifier.issn | 1476-5284 | - |
dc.identifier.uri | http://www.tandfonline.com/doi/abs/10.1080/14765284.2012.638473 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/9059 | - |
dc.description | This is the author's accepted manuscript. The final published article is available from the link below. Copyright @ 2012 The Chinese Economic Association. | en_US |
dc.description.abstract | Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995–2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks’ previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a ‘down’ market generates higher profit than those following an ‘up’ market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a ‘down’ market are robust after risk adjustment. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Taylor & Francis | en_US |
dc.subject | Contrarian and momentum | en_US |
dc.subject | Market states | en_US |
dc.subject | China stock market | en_US |
dc.subject | Overreaction | en_US |
dc.subject | Common factor | en_US |
dc.subject | G11 | en_US |
dc.subject | G14 | en_US |
dc.title | The state of the market and the contrarian strategy: Evidence from China’s stock market | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1080/14765284.2012.638473 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH) | - |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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