Do Trading Rules Based Upon Winners and Losers Work Across Markets? Evidence from the Pacific Basin and U.S. Markets

30 Pages Posted: 17 Jul 2015

See all articles by Hung-Gay Fung

Hung-Gay Fung

University of Missouri at Saint Louis - College of Business Administration

Wai K. Leung

The University of Hong Kong

Gary A. Patterson

University of South Florida

Date Written: 1999

Abstract

Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) and a short position in stocks that have positive returns (winners) may yield large profits. This article expands this line of research by applying these trading rules to Pacific Basin markets. Striking differences in the pattern of portfolio returns between most Pacific Basin markets and those in the U.S. market are found. This article demonstrates that profitable trading strategies developed in the U.S. may not be successfully transferred to other national markets.

Keywords: Pacific Basin and U.S. stock markets; trading rules; transaction costs

JEL Classification: C1, F3, G1

Suggested Citation

Fung, Hung-Gay and Leung, Wai K. and Patterson, Gary A., Do Trading Rules Based Upon Winners and Losers Work Across Markets? Evidence from the Pacific Basin and U.S. Markets (1999). Multinational Finance Journal, Vol. 3, No. 1, p. 41-70, 1999, Available at SSRN: https://ssrn.com/abstract=2631481

Hung-Gay Fung (Contact Author)

University of Missouri at Saint Louis - College of Business Administration ( email )

One University Blvd.
487 SSB
St. Louis, MO 63121
United States
314-516-6374 (Phone)

Wai K. Leung

The University of Hong Kong ( email )

Pokfulam Road
Hong Kong, Pokfulam HK
China

Gary A. Patterson

University of South Florida ( email )

Tampa, FL 33620
United States

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