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Momentum in Australia—A Note

Author

Listed:
  • Robert B. Durand

    (University of Western Australia, School of Economics and Commerce, M250, 35 Stirling Highway, Crawley, Western Australia, 6009.)

  • Manapon Limkriangkrai

    (University of Western Australia, School of Economics and Commerce, M250, 35 Stirling Highway, Crawley, Western Australia, 6009.)

  • Gary Smith

    (University of Western Australia, School of Economics and Commerce, M250, 35 Stirling Highway, Crawley, Western Australia, 6009.)

Abstract

Our note examines the momentum effect in Australia using the J-month/K-month methodology of Jegadeesh and Titman (1993, 2001). Our sample consists of stocks listed on the Australian stock exchange from January 1980 to December 2001. We do not find evidence for a momentum effect in Australia during this period. Rather, we find evidence of significantly positive returns for ‘loser’ portfolios in July-the first month of the Australian financial year.

Suggested Citation

  • Robert B. Durand & Manapon Limkriangkrai & Gary Smith, 2006. "Momentum in Australia—A Note," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 355-364, December.
    • Handle: RePEc:sae:ausman:v:31:y:2006:i:2:p:355-364
    DOI: 10.1177/031289620603100209
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    References listed on IDEAS

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    Cited by:

    1. Jenni L. Bettman & Stephen J. Sault & Anna H. von Reibnitz, 2010. "The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia," Australian Journal of Management, Australian School of Business, vol. 35(3), pages 227-244, December.
    2. Hua Fan, John & Michalski, Lachlan, 2020. "Sustainable factor investing: Where doing well meets doing good," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 230-256.
    3. Daniel Chai & Binh Do, 2016. "Co-existence of short-term reversals and momentum in the Australian equity market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 55-76, February.
    4. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.

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    Keywords

    MOMENTUM; AUSTRALIA;

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