An Empirical Study on Momentum and Contrarian Effects in Chinese Futures Market  

作　　者：Qing Xue Zhen Wang Yang Li 

机构地区：[1]China University of Petroleum, Beijing, China [2]North Industries Group Finance Company Ltd., Beijing, China

出　　处：《China-USA Business Review》2014年第12期745-754,共10页美中经济评论（英文版）

摘　　要：As Chinese futures market is on track of standardized development, its efficiency and related investors＇ strategy have drawn wide attention from scholars worldwide. This paper aims to provide an empirical study on momentum and contrarian effects in Chinese futures market. It investigates how efficient this market has been after decades of development and what investment strategy can be used to obtain significant positive excess return. The analysis is based on weekly and monthly trading data of the major commodity futures listed in three Chinese futures exchanges since January, 1999. By establishing a zero-cost investment trading strategy as testing method, this empirical study shows that contrarian effect is significant in both weekly frequency （short term） and monthly frequency （long term）, and that as the holding period extends, the contrarian effect disappears. It also concludes that the reverse effects in the short term and long term origin from three factors： defective information transfer system, mean reversion in the contrarian effect, and immaturity of investors＇ mentality.

关 键 词：Chinese futures market momentum and contrarian effects market over-reaction market under-reaction 

分 类 号：F832.5[经济管理—金融学] TQ172.632[化学工程—水泥工业]