Momentum Strategy Based on Stock Returns: Past Returns and Future Performance in the Chinese Stock Market

DOI

10.2991/978-94-6463-748-9_109How to use a DOI?

Keywords

Momentum Strategy; Emerging Markets; Chinese Stock Market

Abstract

Momentum strategy is regarded as the key method of quantitative investment, and its efficacy has been widely confirmed in the global stock market. This paper focuses on the Chinese stock market, and discusses the effectiveness and adaptability of momentum strategy in emerging markets. The core purpose of this study is to test whether the stock price gains of the past three and six months can predict the stock price gains of the following month, and evaluate the profitability and risk attributes of the simple momentum strategy through backtesting. For research purpose, this study adopted the Shanghai and Shenzhen a-share monthly earnings data, the two cities on the basis of historical revenue constructing portfolio, implementing classified management to the stock, divided into high yield category with low income category, to evaluate its performance in the test environment. Research data reveals that the strategy implements obvious excess return in the Chinese stock market, and its profit fluctuates according to the difference of market conditions, this study provides the momentum strategy for emerging market investors an empirical basis, for investors in a similar market situation also concise quantitative investment strategy provides a field model.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Jiale Chen
PY  - 2025
DA  - 2025/07/03
TI  - Momentum Strategy Based on Stock Returns: Past Returns and Future Performance in the Chinese Stock Market
BT  - Proceedings of the 2025 International Conference on Financial Risk and Investment Management (ICFRIM 2025)
PB  - Atlantis Press
SP  - 1000
EP  - 1009
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-748-9_109
DO  - 10.2991/978-94-6463-748-9_109
ID  - Chen2025
ER  -