Momentum effect all over the world
This study is intended to reaffirm the existence and profitability of momentum investment strategies in 40 countries around the world during the period 1996–2018.The contradictory findings of previous research on the existence and profitability of momentum strategies have r...
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2017
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| Online Access: | https://repo.uum.edu.my/id/eprint/27475/1/IJBSF%2013%202%202017%2075%2093.pdf |
| _version_ | 1803629309193093120 |
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| author | Imran, Zulfiqar Ali Wong, Woei Chyuan Ismail, Rusmawati |
| author_facet | Imran, Zulfiqar Ali Wong, Woei Chyuan Ismail, Rusmawati |
| author_sort | Imran, Zulfiqar Ali |
| collection | UUM |
| description | This study is intended to reaffirm the
existence and profitability of momentum investment strategies in 40 countries around the world during the period 1996–2018.The contradictory findings of previous research on the existence and profitability of momentum strategies have raised a pertinent question on the validity of efficient market hypothesis. We documented the momentum effect in 90% of our sample countries of which 52.5% exhibited positive momentum effect while 37.5% exhibited negative momentum effect. The findings were robust to two distinct sub-period analyses. The clear rejection of efficient market hypotheses is valuable to momentum traders and stock market regulators.The International Journal of Banking and Finance, Vol. 13. Number 2, 2017: 75-93751. IntroductionFinance literature carries substantial evidence on the existence and profitability of momentum returns since the seminal work of Jegadeesh and Titman (1993). Many studies have documented instances where stocks kept on outperforming (underperforming) for the next three to 12 months if they had outperformed (underperformed) during several previous months. Jegadeesh and Titman (1993) |
| first_indexed | 2024-07-04T06:35:48Z |
| format | Article |
| id | uum-27475 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:35:48Z |
| publishDate | 2017 |
| publisher | Universiti Utara Malaysia |
| record_format | dspace |
| spelling | uum-274752020-09-15T01:16:36Z https://repo.uum.edu.my/id/eprint/27475/ Momentum effect all over the world Imran, Zulfiqar Ali Wong, Woei Chyuan Ismail, Rusmawati HB Economic Theory This study is intended to reaffirm the existence and profitability of momentum investment strategies in 40 countries around the world during the period 1996–2018.The contradictory findings of previous research on the existence and profitability of momentum strategies have raised a pertinent question on the validity of efficient market hypothesis. We documented the momentum effect in 90% of our sample countries of which 52.5% exhibited positive momentum effect while 37.5% exhibited negative momentum effect. The findings were robust to two distinct sub-period analyses. The clear rejection of efficient market hypotheses is valuable to momentum traders and stock market regulators.The International Journal of Banking and Finance, Vol. 13. Number 2, 2017: 75-93751. IntroductionFinance literature carries substantial evidence on the existence and profitability of momentum returns since the seminal work of Jegadeesh and Titman (1993). Many studies have documented instances where stocks kept on outperforming (underperforming) for the next three to 12 months if they had outperformed (underperformed) during several previous months. Jegadeesh and Titman (1993) Universiti Utara Malaysia 2017 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/27475/1/IJBSF%2013%202%202017%2075%2093.pdf Imran, Zulfiqar Ali and Wong, Woei Chyuan and Ismail, Rusmawati (2017) Momentum effect all over the world. The International Journal of Banking and Finance, 13 (2). pp. 75-93. ISSN 1617-722 http://e-journal.uum.edu.my/index.php/ijbf/article/view/9912 |
| spellingShingle | HB Economic Theory Imran, Zulfiqar Ali Wong, Woei Chyuan Ismail, Rusmawati Momentum effect all over the world |
| title | Momentum effect all over the world |
| title_full | Momentum effect all over the world |
| title_fullStr | Momentum effect all over the world |
| title_full_unstemmed | Momentum effect all over the world |
| title_short | Momentum effect all over the world |
| title_sort | momentum effect all over the world |
| topic | HB Economic Theory |
| url | https://repo.uum.edu.my/id/eprint/27475/1/IJBSF%2013%202%202017%2075%2093.pdf |
| work_keys_str_mv | AT imranzulfiqarali momentumeffectallovertheworld AT wongwoeichyuan momentumeffectallovertheworld AT ismailrusmawati momentumeffectallovertheworld |