Title: Empirical Study of Short-term Momentum and Contrarian in Shanghai Stock Exchange
Abstract: As a anomaly,Momentum and Contrarian Effect was researched by many scholars.The sample of this research is all stocks in Shanghai Stock Exchange in 2001-2003.We shorten forming and holding term of groups of Winner and Loser.So we found short-term Contrarian Effect.If the grouping of Winner and Loser depended on turnover,some results are different from those which tested by others whose grouping is classic.
Publication Year: 2006
Publication Date: 2006-01-01
Language: en
Type: article
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