Does Cross-Asset Momentum Outperform? New Evidence from China’s Stock–Bond Markets

We examine whether cross-asset time-series momentum outperforms traditional single-asset momentum in China. Using pooled regressions with fixed effects, bootstrap inference, and cross-grouping methods, we evaluate predictive patterns across stock and bond markets. We document short-lived positive cross-asset momentum from bonds to stocks and negative cross-asset momentum from stocks to bonds, both of which persist for less than 6 months. We further propose an alternative cross-asset momentum portfolio that mitigates sparse trading and outperforms benchmark cross-asset momentum and time-series momentum, particularly for small- and mid-cap stocks and government bonds. Evidence from market stress, momentum crashes, and sentiment proxies reveals pronounced heterogeneity in risk exposure across strategies.