Advances in Economics, Management and Political Sciences
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Proceedings of the 2nd International Conference on Business and Policy Studies
Series Vol. 11 , 13 September 2023
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Application of Momentum Strategy in the Chinese Market
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Abstract
In recent years, momentum trading has been a very mainstream trading strategy. The Chinese market is an emerging market and there are a large number of retail investors. Thus it is characterized by irrational behavior and non-efficient markets. These characteristics are favorable for applying the momentum strategy, which has not been widely used in the Chinese market. In this paper, three tests to examine the non-effectiveness and trend correlation of the market are conducted and a momentum strategy - determining the timing of trades by judging the market trend based on those tests is proposed. The empirical experiments shows that when time interval is small, the strategy achieves good performance on two representative indices of Chinese market, the CSI 300 Index and the CSI 500 Index. It also indicates that in certain cases there are indeed a certain of market inefficiency in China and that momentum is a proper trading strategy to get profit.
Keywords
momentum trading, Chinese market, CSI 300 Index, CSI 500 Index
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 2nd International Conference on Business and Policy Studies
- ISBN (Print)
- 978-1-915371-49-2
- ISBN (Online)
- 978-1-915371-50-8
- Published Date
- 13 September 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/11/20230529
- Copyright
- 13 September 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited