Empirical Comparative Study of Momentum Strategy and Contrarian Strategy in International Security Markets
Empirical Comparative Study of Momentum Strategy and Contrarian Strategy in International Security Markets
Author：Zhao zhenquan,Ding zhiguo,Suzhi Journal：China Soft Science Date：2005(1)
Keywords momentum strategy ;contrarian strategy ;CAR;efficient market
Abstract
As important transaction strategies in international financial market based on overreaction and under reaction , contrarian strategy and momentum strategy have provided key evidences for predictability of security price and stood in contradiction with the Efficient Market Hypothesis (EMH).The difference in validity of these strategies has been empirically compared in US, UK, Japan and China markets by employing CAR in this paper .
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