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Accounting analyses of momentum and contrarian strategies in emerging markets

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  • Matthias Nnadi
  • Sailesh Tanna

Abstract

We analyse the momentum and contrarian effects of stock markets in Brazil, Russia, India, China and South Africa (BRICS) using accounting data. The five markets show different characteristics with the Indian market having the strongest momentum effect. Stock markets in China and Brazil show significant short-term contrarian profit and intermediate to long-term momentum profit while South Africa shows short-term momentum effect and intermediate to long-term contrarian effect. The Russian stock market reveals largely insignificant momentum portfolio returns. We also find evidence that the contrarian profits in South Africa and China are caused by relatively high loser returns while positive momentum profit in India results from relatively high winner returns.

Suggested Citation

  • Matthias Nnadi & Sailesh Tanna, 2019. "Accounting analyses of momentum and contrarian strategies in emerging markets," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 26(4), pages 457-477, July.
    • Handle: RePEc:taf:raaexx:v:26:y:2019:i:4:p:457-477
    DOI: 10.1080/16081625.2017.1284596
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    Cited by:

    1. Varvara V. Nazarova & Sergei I. Leshchev, 2023. "Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 58-73, February.
    2. Syed Riaz Mahmood Ali, 2022. "Do momentum and reversal matter in the Singapore stock market?," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 29(6), pages 1692-1708, November.

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