Profitability of Momentum Strategies in the International Equity Markets

Posted: 14 Sep 2000

See all articles by Kalok Chan

Kalok Chan

CUHK Business School

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Wilson H.S. Tong

Hong Kong Polytechnic University - School of Accounting and Finance; Hong Kong University of Science & Technology (HKUST) - Department of Finance

Abstract

This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results ndicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices - very little profit comes from predictability in the currency markets. We also find higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis.

JEL Classification: G12, G14

Suggested Citation

Chan, Kalok and Hameed, Allaudeen and Tong, Wilson H.S., Profitability of Momentum Strategies in the International Equity Markets. Available at SSRN: https://ssrn.com/abstract=233973

Kalok Chan (Contact Author)

CUHK Business School ( email )

Hong Kong
852 3943 9988 (Phone)

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance ( email )

Mochtar Riady Building
15 Kent Ridge Drive
Singapore, 119245
Singapore

HOME PAGE: http://bizfaculty.nus.edu.sg/faculty-details/?profId=1

Wilson H.S. Tong

Hong Kong Polytechnic University - School of Accounting and Finance ( email )

M715, Li Ka Shing Tower
Hung Hom, Kowloon, Kowloon
Hong Kong

Hong Kong University of Science & Technology (HKUST) - Department of Finance ( email )

Clear Water Bay, Kowloon
Hong Kong
852-2358-7679 (Phone)
852-2358-1749 (Fax)

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