Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)

Industry Momentum Strategies in A-shares Market

Authors
Guiquan Lin1, *
1School of Business, Hohai University, Changzhou, Jiangsu, China
*Corresponding author. Email: Qy331421218@163.com
Corresponding Author
Guiquan Lin
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_126How to use a DOI?
Keywords
Industry momentum strategies; Double sort; A-shares market
Abstract

We apply industry momentum strategies to A-shares market to investigate the profitability of industry momentum in China. Setting Shenwan industry classification as a standard, we use 30 industries from 2010 to 2019 as a sample. Results suggest ranking industries based on the previous 6-month returns yields higher profits than based on the 3-month, 9-month and 12-month returns, on this basis holding portfolios for 6 months help investors obtain substantial and stable profits. Besides, we find skipping one month between formation period and holding period barely improve performance.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

Volume Title
Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
978-94-6463-052-7
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_126How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

TY  - CONF
AU  - Guiquan Lin
PY  - 2022
DA  - 2022/12/27
TI  - Industry Momentum Strategies in A-shares Market
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 1123
EP  - 1130
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_126
DO  - 10.2991/978-94-6463-052-7_126
ID  - Lin2022
ER  -