Relationship between Price Momentum and Trading Volume in China
股市价格动量与交易量关系:中国的经验研究与国际比较

After summarizing related documents, this study researches month-interval price momentum based on return and trading volume criteria in Chinese stock market. We find no price momentum when only based on return criterion. When adding trading volume as another criterion, we find momentum profits in low-volume portfolios, while price reversals in high-volume winners. In addition, "corner portfolios" can produce significant arbitrage profits. We argue that this result is attributed to special structure of Chinese stock market, and is consistent with the behavioral model of Hong and Stein(1999).