英文标题：
《Time series momentum and contrarian effects in the Chinese stock market》
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作者：
Huai-Long Shi and Wei-Xing Zhou (ECUST)
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最新提交年份：
2017
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英文摘要：
  This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the relation between the performance of time series momentum strategies and some firm-specific characteristics. Our findings indicate that there is a time series momentum effect in the short run and a contrarian effect in the long run in the Chinese stock market. The performances of the time series momentum and contrarian strategies are highly dependent on the look-back and holding periods and firm-specific characteristics.
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中文摘要：
本文主要研究中国股市的时间序列动量或反转效应。我们评估了应用于中国大陆主要股指的时间序列动量策略的绩效，并探讨了时间序列动量策略的绩效与一些公司特定特征之间的关系。我们的研究结果表明，中国股市在短期内存在时间序列动量效应，在长期内存在反转效应。时间序列动量和反转策略的表现高度依赖于回望期和持有期以及公司的特定特征。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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