Missing momentum in China: Considering individual investor preference

Shouyu Yao; Yuanyuan Qin; Feiyang Cheng; Ji(George) Wu; John W. Goodell

doi:10.1016/j.frl.2022.103110

Missing momentum in China: Considering individual investor preference

Shouyu Yao, Yuanyuan Qin, Feiyang Cheng^*, Ji(George) Wu, John W. Goodell

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

Abstract

We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.

Original language	English
Article number	103110
Pages (from-to)	1-7
Number of pages	7
Journal	Finance Research Letters
Volume	49
DOIs	https://doi.org/10.1016/j.frl.2022.103110
Publication status	Published - Oct 2022

Keywords

Financial markets
Individual investors
Market anomalies
Momentum

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10.1016/j.frl.2022.103110

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title = "Missing momentum in China: Considering individual investor preference",

abstract = "We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.",

keywords = "Financial markets, Individual investors, Market anomalies, Momentum",

author = "Shouyu Yao and Yuanyuan Qin and Feiyang Cheng and Ji(George) Wu and Goodell, \{John W.\}",

year = "2022",

month = oct,

doi = "10.1016/j.frl.2022.103110",

language = "English",

volume = "49",

pages = "1--7",

journal = "Finance Research Letters",

issn = "1544-6123",

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TY - JOUR

T1 - Missing momentum in China

T2 - Considering individual investor preference

AU - Yao, Shouyu

AU - Qin, Yuanyuan

AU - Cheng, Feiyang

AU - Wu, Ji(George)

AU - Goodell, John W.

PY - 2022/10

Y1 - 2022/10

N2 - We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.

AB - We explore the missing momentum effect in the Chinese stock market from the perspective of individual investor preference. Creating a comprehensive individual investor preference index to investigate the missing momentum effect, we find that the momentum effect diminishes toward absence in Chinese-market stocks with particularly high-levels of individual investor preference. In contrast, momentum manifests with decreases in individual investor preference. Contributing to the literature, we provide a new explanation of the missing momentum effect.

KW - Financial markets

KW - Individual investors

KW - Market anomalies

KW - Momentum

UR - https://www.scopus.com/pages/publications/85133854864

U2 - 10.1016/j.frl.2022.103110

DO - 10.1016/j.frl.2022.103110

M3 - Article

AN - SCOPUS:85133854864

SN - 1544-6123

VL - 49

SP - 1

EP - 7

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 103110

ER -

Missing momentum in China: Considering individual investor preference

Abstract

Keywords

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