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Momentum Strategies: Evidence from Pacific Basin Stock Markets

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  • Allaudeen Hameed
  • Yuanto Kusnadi
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    Abstract

    We investigate the profitability of momentum investment strategy in six Asian stock markets. Unrestricted momentum investment strategies do not yield significant momentum profits. Although we find that a diversified country-neutral strategy generates small but statistically significant returns during 1981-1994, when we control for size and turnover effects we find that the country-neutral profits dissipate. Our evidence suggests that the factors that contribute to the momentum phenomenon in the United States are not prevalent in the Asian markets. The Southern Finance Association and the Southwestern Finance Association.

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    Bibliographic Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal The Journal of Financial Research.

    Volume (Year): 25 (2002)
    Issue (Month): 3 ()
    Pages: 383-397

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    Handle: RePEc:bla:jfnres:v:25:y:2002:i:3:p:383-397

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    Cited by:
    1. Morelli, David, 2014. "Momentum profits and conditional time-varying systematic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 29(C), pages 242-255.
    2. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(4), pages 509-536, September.
    3. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 19(1), pages 140-156, January.
    4. Espinoza, Nicolás & Espinoza, Tomás, 2014. "The Momentum Effect In The Chilean Stock Market," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 12(1), pages 1-32.
    5. Luis Muga & Rafael Santamaría, 2009. "Momentum, market states and investor behavior," Empirical Economics, Springer, Springer, vol. 37(1), pages 105-130, September.
    6. Swanson, Peggy E. & Lin, Anchor Y., 2005. "Trading behavior and investment performance of U.S. investors in global equity markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 15(2), pages 99-115, April.
    7. Bettman, Jenni L. & Maher, Thomas R.B. & Sault, Stephen J., 2009. "Momentum profits in the Australian equity market: A matched firm approach," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(5), pages 565-579, November.
    8. Michael E. Drew & Madhu Veeraraghavan & Min Ye, 2007. "Do momentum strategies work? Australian evidence," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 33(10), pages 772-787.
    9. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(2), pages 312-329.
    10. Liu, Ming & Liu, Qianqiu & Ma, Tongshu, 2011. "The 52-week high momentum strategy in international stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(1), pages 180-204, February.
    11. Cheng, Joseph W. & Wu, Hiu-fung, 2010. "The profitability of momentum trading strategies: Empirical evidence from Hong Kong," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(4), pages 527-538, October.
    12. Qiang Gong & Ming Liu & Qianqiu Liu, 2011. "Is Momentum Really Momentum? International Evidence," Working Papers, Research Institute, International University of Japan EMS_2011_22, Research Institute, International University of Japan.
    13. Shen, Qian & Szakmary, Andrew C. & Sharma, Subhash C., 2005. "Momentum and contrarian strategies in international stock markets: Further evidence," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 15(3), pages 235-255, July.
    14. Ding, David K. & McInish, Thomas H. & Wongchoti, Udomsak, 2008. "Behavioral explanations of trading volume and short-horizon price patterns: An investigation of seven Asia-Pacific markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 16(3), pages 183-203, June.
    15. Michael D. McKenzie, 2007. "Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 43(4), pages 46-73, August.
    16. Kassimatis, Konstantinos & Spyrou, Spyros & Galariotis, Emilios, 2008. "Short-term patterns in government bond returns following market shocks: International evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(5), pages 903-924, December.
    17. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(12), pages 2728-2735.
    18. Naughton, Tony & Truong, Cameron & Veeraraghavan, Madhu, 2008. "Momentum strategies and stock returns: Chinese evidence," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 16(4), pages 476-492, September.
    19. Mohammad Kazem Emadzade & Amir Hossein Hosseini & Mohammadali Shirazipour & Morteza Shokhmgar, 2013. "Investigating the Effect of Momentum Strategies on Investment Success in the Iran Stock Market," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(1), pages 149-157, January.
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