Are Momentum Strategies Profitable? Evidence from Singapore

45 Pages Posted: 1 Mar 2009

See all articles by Vikash Ramiah

Vikash Ramiah

RMIT University - School of Economics, Finance and Marketing; Financial Research Network (FIRN)

Tony Naughton (Deceased)

RMIT University - School of Economics, Finance and Marketing; Financial Research Network (FIRN)

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area

Date Written: February 27, 2009

Abstract

We investigate the profitability of momentum investment strategies for equities listed on the Stock Exchange of Singapore (SGX-MAINBOARD), second board (SGX-SESDAQ) and a combined board. We also investigate the relationship between stock returns and past trading volume for equities listed in the Singapore stock exchange. We report significant momentum profits for the period investigated in this paper and document that momentum is a persistent feature of stock returns for all three boards. We also document that momentum portfolios earn returns as high as 14.1% per month on the secondary board, 13.29% on the combined board and 11.22% on the main board.

Keywords: Momentum, Turnover Ratio, Past Returns, Singapore, Multifactor

JEL Classification: G11, G12, G15

Suggested Citation

Ramiah, Vikash and Naughton (Deceased), Tony and Veeraraghavan, Madhu, Are Momentum Strategies Profitable? Evidence from Singapore (February 27, 2009). Available at SSRN: https://ssrn.com/abstract=1350193 or http://dx.doi.org/10.2139/ssrn.1350193

Vikash Ramiah (Contact Author)

RMIT University - School of Economics, Finance and Marketing ( email )

Business
Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Tony Naughton (Deceased)

RMIT University - School of Economics, Finance and Marketing ( email )

Business
Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Madhu Veeraraghavan

T.A. PAI Management Institute, Finance Area ( email )

Bangalore
Manipal, Karnataka 576104
India
+91-820-2701030 (Phone)

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