Is There a Momentum Effect in Chinese STAR MARKET? An Empirical Analysis based on 223 Stocks in 2019-2021

Yiwen Liu, Yuze Jiang

2022

Abstract

With the deepening of the reform and opening-up process, China’s capital market has gradually become mature. Established in 2019, the SSE STAR MARKET (written below as SSE) is a special board in China specifically for high-tech enterprises to solve the problem of the high threshold for listing on the mainboard, and to promote the development of innovative enterprises. The characteristics of the SSE are quite different from those of the mainboard, so this paper use Python with weekly trading data for 223 Stocks in SSE to investigate whether there is a momentum effect in the SSE by constructing a winner ’s portfolio and a loser’s portfolio for the first time. What’s more, this paper investigates the relationship between the turnover rate and the momentum effect. The study finds that there is no momentum effect in the SSE STAR MARKET in the short term. However, there is a momentum effect within the long term and the extent of the momentum effect deepens in the market with low monthly turnover rates.

Paper Citation

in Harvard Style

Liu Y. and Jiang Y. (2022). Is There a Momentum Effect in Chinese STAR MARKET? An Empirical Analysis based on 223 Stocks in 2019-2021. In Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI; ISBN 978-989-758-620-0, SciTePress, pages 66-71. DOI: 10.5220/0011723400003607

in Bibtex Style

@conference{icpdi22,
author={Yiwen Liu and Yuze Jiang},
title={Is There a Momentum Effect in Chinese STAR MARKET? An Empirical Analysis based on 223 Stocks in 2019-2021},
booktitle={Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI},
year={2022},
pages={66-71},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011723400003607},
isbn={978-989-758-620-0},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI
TI - Is There a Momentum Effect in Chinese STAR MARKET? An Empirical Analysis based on 223 Stocks in 2019-2021
SN - 978-989-758-620-0
AU - Liu Y.
AU - Jiang Y.
PY - 2022
SP - 66
EP - 71
DO - 10.5220/0011723400003607
PB - SciTePress