文献类型：期刊文献

英文题名：Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets

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

机构：[1]East China Univ Sci & Technol, Sch Business, Dept Finance, 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：486

起止页码：397

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

收录：;EI(收录号：20172403790486);WOS:【SSCI(收录号:WOS:000406988000031)，SCI-EXPANDED(收录号:WOS:000406988000031)】；

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

语种：英文

外文关键词：Econophysics; Adaptive market hypothesis; Contrarian effect; Momentum effect

摘要：This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the Fama-French three-factor model. The evolving arbitrage opportunities are also studied by quantifying the performance of time varying cross-sectional momentum and contrarian effects in the Chinese stock markets. The relation between the contrarian profitability and market condition factors that could characterize the investment context is also investigated. The results reveal that the risk premium relation varies over time, and the arbitrage opportunities based on the contrarian portfolios wax and wane over time. The performance of contrarian portfolios are highly dependent on several market conditions. The periods with upward trend of market state, higher market volatility and liquidity, lower macroeconomics uncertainty are related to higher contrarian profitability. These findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants. (C) 2017 Elsevier B.V. All rights reserved.