Comparison of the performance of contrarian portfolios in the two exchanges for the whole sample period 1997–2012.

This table reports the differences of average annualized returns of contrarian portfolios in the SHSE and SZSE and the corresponding t-statistics. The return differences are the SHSE returns minus the SZSE returns. The contrarian portfolios are formed based on J-month lagged returns and held for K months. The three panels show the results using decile grouping, quintile grouping and tertile grouping in ranking the J-month lagged return. The sample period is January 1997 to December 2012. The superscripts * and ** denote the significance at 5% and 1% levels, respectively.Comparison of the performance of contrarian portfolios in the two exchanges for the whole sample period 1997–2012.