Investor heterogeneity and momentum-based trading strategies in China
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DOI: 10.1016/j.irfa.2020.101654
Abstract: Abstract The conventional momentum strategy performs poorly overall in China, because stock prices behave very differently when markets are open for trading versus when they are closed. Stocks that are past intraday (overnight) winners persistently… read more here.
Keywords: based trading; momentum based; intraday overnight; momentum ... See more keywords