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Contrarian investment strategies : evidence in China stock market 2002-2011

Xu, Ruyin; Qiu, Kan
Master thesis
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MScfinalthesis2012QiuXu.pdf (2.142Mb)
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http://hdl.handle.net/11250/95040
Utgivelsesdato
2013-02-15
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Samlinger
  • Master of Science [1116]
Sammendrag
This master thesis aims to investigate the profitability of momentum and

contrarian investment strategies in Chinese “A” share market listed on both the

Shanghai Stock Exchange (SSE) and the Shenzhen Stock Exchange (SZSE) from

2002 to 2011. We examined 81 strategies with various horizons based on weekly

stock return. Results suggest that contrarian strategies are more likely to be

successful than momentum strategies. Short- and medium-term contrarian

strategies yield statistically significant abnormal profit up to 2.2% per month,

however, profitability decreases as holding period gets longer. Further analysis

indicates that (1) time-varying market risk could be a source of contrarian profits,

but not a major one; (2) Overreaction does not contribute to contrarian profits; (3)

the lead-lag structure effect is mainly responsible for contrarian profits.

Keywords: contrarian strategy, China “A” shares, overreaction, lead-lag

structure, decomposition model.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2013

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