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- W3018206658 abstract "We show the effect of investor anxiety on momentum in the Chinese stock market. In this market dominated by retail investors, we examine the momentum profits in 900 types of daily testing periods. We find prevalent price reversals in the long formation and holding periods in the Chinese A-share market. Compared to Goyal and Wahal (2015), Wang and Xie (2010), and Kang et al. (2002) who found no momentum, our novel finding from a daily basis is that the A-share market presents price momentum within the short formation and holding periods. We first test the momentum profits under different strengths of anxiety in the A-share market. The stocks held by the least anxious investors elicit the strongest price momentum, whereas the stocks held by the most anxious investors encounter much weaker price momentum in the A-share market. According to our empirical outcomes, the A-share market overall exhibits higher anxiety and weaker momentum, whereas the B-share market embodies milder anxiety and stronger momentum. From the results of single market and cross-market comparisons, the intrinsic anxiety of retail investors is an essential factor stimulating the Chinese stock market to be prone to price reversals." @default.
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- W3018206658 date "2020-04-25" @default.
- W3018206658 modified "2023-10-16" @default.
- W3018206658 title "An Anecdote of Investor Anxiety and Momentum in China" @default.
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- W3018206658 doi "https://doi.org/10.1155/2020/6564731" @default.
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