How Do Momentum Strategies 'Score' Against Individual Investors in Taiwan, Hong Kong and Korea?

32 Pages Posted: 12 Aug 2014

See all articles by Anurag Narayan Banerjee

Anurag Narayan Banerjee

Durham Business School

Chi-Hsiou Daniel Hung

University of Glasgow - Adam Smith Business School

Date Written: June 2, 2014

Abstract

We compare the momentum strategies to "naïve" uninformed strategies in Taiwan, Hong Kong, and Korea. The high participation of individual investors in these economies makes it an ideal setting to use the score function proposed by Banerjee and Hung (BH, 2011). As in BH we find that the average scores of the momentum profits in these markets are close to zero. In contrast to BH's finding that in the U.S. market the winner stocks get significantly positive scores, we find that in all the three markets the scores of the winner portfolio are statistically insignificant.

Keywords: Emerging stock markets; Momentum; Naive strategies; Return percentiles; Price information; Score function

JEL Classification: G11; G12; G14

Suggested Citation

Banerjee, Anurag Narayan and Hung, Chi-Hsiou Daniel, How Do Momentum Strategies 'Score' Against Individual Investors in Taiwan, Hong Kong and Korea? (June 2, 2014). Available at SSRN: https://ssrn.com/abstract=2479112 or http://dx.doi.org/10.2139/ssrn.2479112

Anurag Narayan Banerjee

Durham Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

Chi-Hsiou Daniel Hung (Contact Author)

University of Glasgow - Adam Smith Business School ( email )

Gilbert Scott Building
University of Glasgow
Glasgow, Scotland G12 8QQ
United Kingdom

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