Does Momentum Still Exist Exist in the Australian Stock Market?

Abstract

We revisited the Jegadeesh and Titman (1993) methodology of momentum to find out whether any momentum still exists in the Australian stock market. Our results suggest the presence of significant momentum returns in the Australian market. The momentum can last up to 100 weeks if the portfolio is formed on the basis of the last ten weeks’ return, and up to 50 weeks in the case of most other formation periods. Having adjusted for the ‘July effect’, our analysis could not find substantially different results. We provide an updated confirmation of momentum in the Australian market, by using a relatively new and less researched weekly horizon of returns.

Keywords: momentum, efficiency, anomaly

JEL Classification: G10; G14