Momentum returns and information uncertainty: Evidence from China

Cheema, Muhammad A.; Nartea, Gilbert V.

doi:10.1016/j.pacfin.2014.10.002

Cited by 38 publications

(24 citation statements)

References 44 publications

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“…Table 2 presents the average monthly equally-weighted (EW) and value-weighted (VW) momentum returns (P5-P1) and alphas as well as returns of winners (P5), and losers (P1) over the period January 1996 to December 2015 for portfolios sorted on past 6-month returns for k-month (k = 3, 6, 9, 12) holding periods. 7 Several earlier studies suggest that momentum is relatively weak in the Chinese stock markets (e.g., Van der Hart et al, 2003;Wang, 2004;Chen, Kim, Yao, & Yu, 2010;Wu, 2011;Pan, Tang, & Xu, 2013;Cheema & Nartea, 2014). Our EW and VW results are broadly consistent with these studies.…”

Section: B Momentum Returnssupporting

confidence: 89%

Momentum returns, market states, and market dynamics: Is China different?

Cheema

Nartea

2017

International Review of Economics & Finance

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Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the absence of momentum returns following UP markets in China cannot be explained by market dynamics, unlike in the U.S. Third, momentum returns in China are higher when the market continues in the same state than when it transitions to the other state as in the U.S. but this is true in China only following DOWN states.

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Section: B Momentum Returnssupporting

confidence: 89%

Momentum returns, market states, and market dynamics: Is China different?

Cheema

Nartea

2017

International Review of Economics & Finance

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“…Their study reported strong positive influence of individualism on momentum returns. Cheema and Nartea (2014) provided further evidence on positive relationship impact of information uncertainty and individualism on momentum returns but in Chinese market. Momentum of non‐equity market have gained popularity in recent years.…”

Section: Introductionmentioning

confidence: 78%

Is momentum trading profitable from Shari'ah compliant stocks?

Rashid

2016

Rev Financ Econ

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a b s t r a c t JEL classification: G10 G11 G12This research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four-year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry-driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.

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“…The purpose of this screen is to reduce the impact of small size stocks on our sample. Cheema and Nartea (2014) find that the momentum anomaly is absent in small size stocks in China; whereas they find significant momentum returns for medium and large size stocks. Therefore, in this section we construct the mispricing score based on all the stocks to mitigate the concern that our results might be biased due to the exclusion of small size stocks where anomalous returns might be weaker than medium and large size stocks; hence, the inclusion of small size stocks might lower anomalous returns in China.…”

Section: About Herementioning

confidence: 87%

Oil prices and stock market anomalies

Cheema

Scrimgeour

2019

Energy Economics

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This paper examines the relationship between oil prices and stock market anomalies in China, the largest oil importer country in the world. Prior literature documents both a positive and negative relationship between oil prices and the stock market. The explanation of a positive relationship is supported by the argument that rising oil prices are interpreted as a positive signal by investors. Consequently, rising oil prices lead stock prices above their fundamental values and that they subsequently correct. Therefore, we hypothesise that stock market anomalies are stronger following rising oil prices since returns associated with anomalies reflect mispricing. The results, consistent with the hypothesis, show stronger return predictability for individual anomalies following an increase in oil prices than for a decrease in oil prices. The results are even stronger once we construct a mispricing score based on composite mispricing of all the anomalies. JEL Classification Code: G14, G15, Q43

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Momentum returns and information uncertainty: Evidence from China

Cited by 38 publications

References 44 publications

Momentum returns, market states, and market dynamics: Is China different?

Momentum returns, market states, and market dynamics: Is China different?

Is momentum trading profitable from Shari'ah compliant stocks?

Oil prices and stock market anomalies

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