Daily Momentum and New Investors in Emerging Stock Markets

Despite the dominance of retail investors, the Chinese stock market lacks price momentum in weekly and monthly returns. However, this study uncovers significant daily price momentum, driven by the attention and trading behaviors of new investors. This phenomenon, rooted in emerging markets’ unique investor dynamics, highlights the outsized role of inexperienced investors. Our analysis extends globally, revealing daily price momentum in several emerging markets, while it remains scarce in developed ones. This divergence underscores the contrasting forces shaping market behavior in emerging versus developed stock markets, offering fresh insights into the role of investor composition in influencing market efficiency.