Momentum Strategies: Evidence from the Pacific Basin Stock Markets

Abstract

In this paper, we investigate the profitability of momentum investment strategy in six Asian stock markets. Unrestricted momentum investment strategies do not yield significant momentum profits. Although we find that a diversified country-neutral strategy generates small but statistically significant returns in the 1981-1994 period, additional analyses show that the country-neutral profits dissipate when we control for size and turnover effects. The evidence suggests that the factors that contribute to the momentum phenomenon in the U.S. are not pervasive in the Asian markets.

Keywords: Asian stock markets, momentum investment strategy, price predictability

JEL Classification: G11, G14, G15