Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal
This study applies relative strength trading rule to analyse momentum effect and return reversal in the finance sector of Malaysia for the period of January 1997–December 2014. We construct J/K overlapping portfolios consisting of finance stocks over 1–12 months short investing horizons The estimate...
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| Format: | Article |
| Language: | English |
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2018
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| Online Access: | https://eprints.ums.edu.my/id/eprint/24143/1/Anomalies%20in%20Finance%20Stocks%20Market.pdf |
| _version_ | 1796910244634296320 |
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| author | Kok, Sook ching Qaiser Munir Hooi, Hooi Lean |
| author_facet | Kok, Sook ching Qaiser Munir Hooi, Hooi Lean |
| author_sort | Kok, Sook ching |
| collection | UMS |
| description | This study applies relative strength trading rule to analyse momentum effect and return reversal in the finance sector of Malaysia for the period of January 1997–December 2014. We construct J/K overlapping portfolios consisting of finance stocks over 1–12 months short investing horizons The estimated average cumulative monthly excess returns from momentum strategy portfolios are in the range of 0.017–0.023, while contrarian strategy portfolios are between 0.023 and 0.029 (in percentage). The market-adjusted returns cannot be explained based on the market risk factor of Capital Asset Pricing Model (CAPM). The findings indicate short-run inefficiency in the weak-form sense. |
| first_indexed | 2024-03-06T03:01:36Z |
| format | Article |
| id | ums.eprints-24143 |
| institution | Universiti Malaysia Sabah |
| language | English |
| last_indexed | 2024-03-06T03:01:36Z |
| publishDate | 2018 |
| record_format | dspace |
| spelling | ums.eprints-241432019-11-20T02:59:27Z https://eprints.ums.edu.my/id/eprint/24143/ Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal Kok, Sook ching Qaiser Munir Hooi, Hooi Lean HB Economic theory. Demography HG Finance This study applies relative strength trading rule to analyse momentum effect and return reversal in the finance sector of Malaysia for the period of January 1997–December 2014. We construct J/K overlapping portfolios consisting of finance stocks over 1–12 months short investing horizons The estimated average cumulative monthly excess returns from momentum strategy portfolios are in the range of 0.017–0.023, while contrarian strategy portfolios are between 0.023 and 0.029 (in percentage). The market-adjusted returns cannot be explained based on the market risk factor of Capital Asset Pricing Model (CAPM). The findings indicate short-run inefficiency in the weak-form sense. 2018-04 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/24143/1/Anomalies%20in%20Finance%20Stocks%20Market.pdf Kok, Sook ching and Qaiser Munir and Hooi, Hooi Lean (2018) Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal. Advanced Science Letters, 24 (4). pp. 2292-2295. https://doi.org/10.1166/asl.2018.10938 |
| spellingShingle | HB Economic theory. Demography HG Finance Kok, Sook ching Qaiser Munir Hooi, Hooi Lean Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal |
| title | Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal |
| title_full | Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal |
| title_fullStr | Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal |
| title_full_unstemmed | Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal |
| title_short | Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal |
| title_sort | anomalies in finance stocks market momentum effect and return reversal |
| topic | HB Economic theory. Demography HG Finance |
| url | https://eprints.ums.edu.my/id/eprint/24143/1/Anomalies%20in%20Finance%20Stocks%20Market.pdf |
| work_keys_str_mv | AT koksookching anomaliesinfinancestocksmarketmomentumeffectandreturnreversal AT qaisermunir anomaliesinfinancestocksmarketmomentumeffectandreturnreversal AT hooihooilean anomaliesinfinancestocksmarketmomentumeffectandreturnreversal |