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Momentum Strategies: Evidence from Pacific Basin Stock Markets

Author

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  • Allaudeen Hameed
  • Yuanto Kusnadi

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.

Suggested Citation

  • Allaudeen Hameed & Yuanto Kusnadi, 2002. "Momentum Strategies: Evidence from Pacific Basin Stock Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(3), pages 383-397, September.
    • Handle: RePEc:bla:jfnres:v:25:y:2002:i:3:p:383-397
    DOI: 10.1111/1475-6803.00025
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    References listed on IDEAS

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