An Anecdote of Investor Anxiety and Momentum in China
Joint Authors
Lin, Hung-Wen
Lin, Kun-Ben
Huang, Jing-Bo
Cao, Xia-Ping
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-21, 21 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-04-25
Country of Publication
Egypt
No. of Pages
21
Main Subjects
Abstract EN
We show the effect of investor anxiety on momentum in the Chinese stock market.
In this market dominated by retail investors, we examine the momentum profits in 900 types of daily testing periods.
We find prevalent price reversals in the long formation and holding periods in the Chinese A-share market.
Compared to Goyal and Wahal (2015), Wang and Xie (2010), and Kang et al.
(2002) who found no momentum, our novel finding from a daily basis is that the A-share market presents price momentum within the short formation and holding periods.
We first test the momentum profits under different strengths of anxiety in the A-share market.
The stocks held by the least anxious investors elicit the strongest price momentum, whereas the stocks held by the most anxious investors encounter much weaker price momentum in the A-share market.
According to our empirical outcomes, the A-share market overall exhibits higher anxiety and weaker momentum, whereas the B-share market embodies milder anxiety and stronger momentum.
From the results of single market and cross-market comparisons, the intrinsic anxiety of retail investors is an essential factor stimulating the Chinese stock market to be prone to price reversals.
American Psychological Association (APA)
Lin, Hung-Wen& Lin, Kun-Ben& Huang, Jing-Bo& Cao, Xia-Ping. 2020. An Anecdote of Investor Anxiety and Momentum in China. Complexity،Vol. 2020, no. 2020, pp.1-21.
https://search.emarefa.net/detail/BIM-1142970
Modern Language Association (MLA)
Lin, Hung-Wen…[et al.]. An Anecdote of Investor Anxiety and Momentum in China. Complexity No. 2020 (2020), pp.1-21.
https://search.emarefa.net/detail/BIM-1142970
American Medical Association (AMA)
Lin, Hung-Wen& Lin, Kun-Ben& Huang, Jing-Bo& Cao, Xia-Ping. An Anecdote of Investor Anxiety and Momentum in China. Complexity. 2020. Vol. 2020, no. 2020, pp.1-21.
https://search.emarefa.net/detail/BIM-1142970
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1142970