Price Manipulation and Industry Momentum: Evidence from the Chinese Stock Market

摘要: Recent theoretical studies (Aggarwal and Wu, 2006; Mei, Wu Zhou, 2004) show that trade-based stock price manipulation is a possible source of the momentum effect. This paper proposes three sets testable hypotheses provides empirical evidence for manipulation-based explanation momentum. Using weekly data on 14 CITIC industries in Shanghai A-share market from 1997 to 2006, our analysis industry shows cumulative returns first increase then decrease across holding periods, monotonically formation periods. return pattern consistent with so-called "pump dump" scheme, where created by manipulators chased speculators. We attribute positive own-autocorrelation, which dominates cross-autocorrelation effect returns. also find profits are higher bull than bear market, most come gains winning rather losses losing industries. These results, when related some well-documented behavioral biases Chinese speculators, tell us stock-market story