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How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?

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  • Hung, Chi-Hsiou D.
  • Banerjee, Anurag N.

Abstract

We compare the momentum strategies to “naive” uninformed strategies in Taiwan, Hong Kong, and Korea. The high participation of individual investors in these economies makes it an ideal setting to use the score function proposed by Banerjee and Hung (BH, 2011). As in BH we find that the average scores of the momentum profits in these markets are close to zero. In contrast to BH's finding that in the U.S. market the winner stocks get significantly positive scores, we find that in all the three markets the scores of the winner portfolio are statistically insignificant.

Suggested Citation

  • Hung, Chi-Hsiou D. & Banerjee, Anurag N., 2014. "How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?," Emerging Markets Review, Elsevier, vol. 21(C), pages 67-81.
    • Handle: RePEc:eee:ememar:v:21:y:2014:i:c:p:67-81
    DOI: 10.1016/j.ememar.2014.08.001
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    References listed on IDEAS

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    Cited by:

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    2. Jungmu Kim & Yuen Jung Park, 2019. "Is Factor Investing Sustainable after Price Impact Costs? The Capacity of Factor Investing in Korea," Sustainability, MDPI, vol. 11(17), pages 1-21, September.
    3. Yujie Zhu & Tieqi Wang, 2017. "Deriving momentum strategies in Chinese stock Market: Using Gene Expression Programming," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-4.
    4. Sherif, Mohamed & Chen, Jiaqi, 2019. "The quality of governance and momentum profits: International evidence," The British Accounting Review, Elsevier, vol. 51(5).

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    More about this item

    Keywords

    Emerging stock markets; Momentum; Naive strategies; Return percentiles; Price information; Score function;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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