文献类型：期刊文献

英文题名：Time series momentum and contrarian effects in the Chinese stock market

作者：Shi, Huai-Long[1,2];Zhou, Wei-Xing[1,2,3]

机构：[1]East China Univ Sci & Technol, Dept Finance, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Sch Sci, Dept Math, Shanghai 200237, Peoples R China

年份：2017

卷号：483

起止页码：309

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20172003667842);WOS:【SSCI(收录号:WOS:000405062000033)，SCI-EXPANDED(收录号:WOS:000405062000033)】；

基金：This work is partially supported by the National Natural Science Foundation of China (71571121 and 71532009) and the Fundamental Research Funds for the Central Universities (222201718006).

语种：英文

外文关键词：Econophysics; Time series momentum effect; Time series contrarian effect; Trading strategy; Chinese stock market

摘要：This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the relation between the performance of time series momentum strategies and some firm-specific characteristics. Our findings indicate that there is a time series momentum effect in the short run and a contrarian effect in the long run in the Chinese stock market. The performances of the time series momentum and contrarian strategies are highly dependent on the look-back and holding periods and firm-specific characteristics. (C) 2017 Elsevier B.V. All rights reserved.