| Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004 |
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| 引用本文： | DU Xing-qiang NIE Zhi-ping. Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004[J]. 现代会计与审计, 2007, 3(2): 63-69 |
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| 作者姓名： | DU Xing-qiang NIE Zhi-ping |
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| 作者单位： | School of Management, Xiamen University, Xiamen 361005, China |
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| 基金项目： | This paper is supported by the National Natural Science Foundation of China （NSFC, No.70302012）, the New Century Excellent Talents （NCET-04-0596） and the Fok Ying Tung Education Foundation （No.101087）. |
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| 摘 要： | We examine momentum and contrarian effects in China＇s stock market during 1994-2004 and find that no medium momentum effects exist. Meanwhile, contrarian strategy works effectively over the horizon of 18-36 months. 1-month gap for avoiding bid-ask bounce and lead-lag effect make no considerable change to our empirical results. Transaction costs seem to have no significant impact on contrarian strategies＇ profit.
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| 关 键 词： | 动量 产品 处理费用 中国 |
Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004 |
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| Abstract: | |
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| Keywords: | medium-term momentum long-term momentum contrafian effects transaction costs |
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