Abstract
In the view of the fact that the stock market in China continues to expand, the study on momentum effect requires the addition of volume to adjust the relevant indicators. This paper selects the weekly returns of all stocks in the Shanghai Stock Exchange and the Shenzhen Stock Exchange as the sample, and uses the overlapping sampling method to test the momentum effect of Chinese stock market from January 2000 to December 2011. The empirical results show that there is no momentum effect in Chinese stock market. Compared with the results that without the volume adjustment, the results show that the momentum returns with volume adjustment of each portfolio is significantly lower, and indicate that under the background of market expansion, short-term trading behavior is reasonable.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
