The Predictable Behavior of Security Returns: A Comparative Study Between US and China Markets

31 Pages Posted: 22 Mar 2019

See all articles by Yue Luo

Yue Luo

Hong Kong Polytechnic University, School of Accounting and Finance, Students

Date Written: December 4, 2017

Abstract

Jegadeesh (1990) examines the serial correlation in monthly stock returns and tests its economic significance by designing three trading strategies. In this study, we follow his research design to compare the security return predictability between US market and China market. The findings suggest that the significant strong predictability Jegadeesh (1990) finds over the period from 1934 to 1987 in US market is much weaker during recent years from 2001 to 2015. Furthermore, the comparison shows that the security return predictability in China market is even stronger than that in US market in recent period.

Keywords: return predictability; China market; momentum

JEL Classification: G11; G12; G14

Suggested Citation

Luo, Yue, The Predictable Behavior of Security Returns: A Comparative Study Between US and China Markets (December 4, 2017). Available at SSRN: https://ssrn.com/abstract=3341922 or http://dx.doi.org/10.2139/ssrn.3341922

Yue Luo (Contact Author)

Hong Kong Polytechnic University, School of Accounting and Finance, Students ( email )

Hung Hom
Kowloon
Hong Kong

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