Momentum Strategies: Evidence from the Pacific Basin Stock Markets

30 Pages Posted: 7 Dec 2000

See all articles by Allaudeen Hameed

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Yuanto Kusnadi

Singapore Management University - School of Accountancy

Date Written: undated

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

Suggested Citation

Hameed, Allaudeen and Kusnadi, Yuanto, Momentum Strategies: Evidence from the Pacific Basin Stock Markets (undated). Available at SSRN: https://ssrn.com/abstract=247521 or http://dx.doi.org/10.2139/ssrn.247521

Allaudeen Hameed (Contact Author)

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

Yuanto Kusnadi

Singapore Management University - School of Accountancy ( email )

60 Stamford Road
Singapore 178900
Singapore
+65 6808 5449 (Phone)

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