Medium-term and Long-term Momentum and Contrarian Effects on China during 1994-2004  

作　　者：DU Xing-qiang NIE Zhi-ping 

机构地区：[1]School of Management, Xiamen University, Xiamen 361005, China

出　　处：《Journal of Modern Accounting and Auditing》2007年第2期63-69,共7页现代会计与审计（英文版）

基　　金：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）.

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.

关 键 词：medium-term momentum long-term momentum contrafian effects transaction costs 

分 类 号：F12[经济管理—世界经济]