Investor heterogeneity and momentum-based trading strategies in China

被引：23
作者：
Gao, Ya [1 ]
Han, Xing [2 ]
Li, Youwei [3 ]
Xiong, Xiong [4 ,5 ]
机构：
[1] Dalian Univ Technol, Sch Econ & Management, Dalian 116024, Peoples R China
[2] Univ Auckland, Business Sch, 12 Grafton Rd, Auckland 1010, New Zealand
[3] Univ Hull, Hull Univ Business Sch, Kingston Upon Hull HU6 7RX, N Humberside, England
[4] Tianjin Univ, Coll Management & Econ, 92 Weijin Rd, Tianjin 300072, Peoples R China
[5] China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2021年 / 74卷
基金：
中国国家自然科学基金;
关键词：
Investor heterogeneity; Intraday return; Overnight return; Momentum; CROSS-SECTION; RETURNS; SIZE;
D O I：
10.1016/j.irfa.2020.101654
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The conventional momentum strategy performs poorly overall in China, because stock prices behave very differently when markets are open for trading versus when they are closed. Stocks that are past intraday (overnight) winners persistently outperform those that are past intraday (overnight) losers in the subsequent intraday (overnight) periods. However, the same intraday- (overnight-) momentum strategy suffers dramatically in the subsequent overnight (intraday) periods. Further analysis shows that past intraday (overnight) winners tend to be more (less) speculative stocks which are highly demanded during the day (night). Overall, our results are consistent with investor heterogeneity, and this persistent tug of war virtually eliminates the effectiveness of investors pursuing the momentum-based trading strategy in China.
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页数：18
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