Earticle

초록

영어

Although prior studies have extensively documented the momentum effect across different markets, time periods, and asset classes, most of the existing literature focuses on individual determinants of momentum returns in isolation. In particular, there is limited empirical evidence on how momentum profitability jointly varies with market conditions and investor ownership structure. Motivated by this gap, this study investigates the profitability of momentum strategies in the Chinese stock market using common stocks listed on the Shanghai Stock Exchange. In addition to the conventional winner-minus-loser (WML) strategy, we also examine alternative volatility-managed momentum strategies. Furthermore, following Cooper et al. (2004), we classify market states into up and down markets to analyze whether momentum returns depend on market conditions. Finally, we explore how momentum profitability varies with the level of institutional ownership. The empirical results can be summarized as follows. First, both the traditional momentum strategy and volatility-managed momentum strategies generate statistically significant positive returns in the Chinese stock market, with the Daniel and Moskowitz (2016) strategy exhibiting the strongest performance. Second, momentum profits are primarily driven by up-market periods, suggesting that market conditions play a crucial role in determining strategy effectiveness. Third, momentum returns are significantly higher in portfolios with greater institutional ownership, implying that institutional investors contribute more to the generation of momentum profits. These findings provide important economic implications. They suggest that incorporating risk management and market timing can enhance momentum strategy performance, and that investor composition—particularly institutional ownership—plays a critical role in explaining momentum returns. This study contributes to the literature by offering a more comprehensive understanding of momentum profitability through the joint consideration of market conditions and investor ownership structure. By highlighting the role of institutional investors, it also provides new insights into the underlying mechanism of the momentum effect. Nevertheless, this study is limited by its focus on stocks listed on the Shanghai Stock Exchange, which may restrict the representativeness of the findings, suggesting that future research should extend the analysis to include firms listed on the Shenzhen and Beijing Stock Exchanges to improve generalizability.

목차

Abstract
1. 서론
2. 데이터
3. 방법론
3.1. 전통적 모멘텀 전략의 수익률
3.2. Barroso and Santa-Clara(2015)와 Daniel and Moskowitz(2016)의 모멘텀 수익률
4. 실증 분석 결과
5. 결론
참고문헌

키워드

저자

• 오명 [ Wu, Ming | 국립부경대학교 글로벌자율전공학부 ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  Journal of China Studies

• 간기

  계간

• pISSN

  1975-5902

• eISSN

  3022-5590

• 수록기간

  2006~2026

• 등재여부

  KCI 등재

• 십진분류

  KDC 912 DDC 951