The Application and Performance of Momentum Strategy in A-shares and U.S. Stocks
Year: 2024
Type: article
Abstract: Momentum strategy, a widely accepted approach in the investment field, is the focus of this study. This paper selected the constituent stocks of the Shanghai and Shenzhen 300 Index and the S&P 500 Index as representatives of their respective stock markets. The study found that the cross-sectional factor momentum strategy performs poorly in the A-share market, while it exhibits better performance in the U.S. stock market. This study summarized the potential reasons for the observed results, such as the different trading rules, the U.S. stock market operates on T+0, while the A-share market operates on T+1. This indicates that the factor momentum strategy can be better implemented in the U.S. stock market, and also reveals the necessity and importance for investors to choose different strategies in two different stock markets. This research can provide beneficial references for investors to make more informed investment decisions in different market environments and achieve a better return.
DOI: 10.54097/t7d26r52
Author: Yuhuan Mai
Institution: Beijing Normal-Hong Kong Baptist University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4401666834