Tests of the Contrarian Strategy Evidence from the Chinese Stock Market
中国证券市场反向策略研究及其短周期性

The Contrarian Strategy implies buying the "value stock" which is priced too low and selling the "glamour stock" which is priced too high. The empirical research in many stock markets indicate that the contrarian strategy outperforms the market. This study researches whether the contrarian strategy can yield higher returns in Chinese stock market. The result reveals that using proper indexes and terms, the contrarian strategy is effective in China. But as an emerging stock market, the condition in China is not the same as in the western countries. The effective contrarian cycle is much shorter in China than in the US. This phenomenon may be caused by the high turnover ratios of the Chinese stock market.