Despite the dominance of retail investors in the Chinese stock market, there’s a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic analysis of trading heterogeneity among investors, links daily momentum to the attention and trading activities of new investors—a phenomenon particularly signiffcant in emerging stock markets. Furthermore, our ffndings indicate the existence of daily price momentum in various other emerging markets, contrasting with its relative scarcity in developed ones.
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