Momentum Strategies: Evidence from Pacific Basin Stock Markets

Posted: 1 Aug 2001

See all articles by Allaudeen Hameed

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Yuanto Kusnadi

Singapore Management University - School of Accountancy

Abstract

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 during 1981-1994, when we control for size and turnover effects, we find that the country-neutral profits dissipate. Our evidence suggests that the factors that contribute to the momentum phenomenon in the United States are not prevalent in the Asian markets.

JEL Classification: G11, G14, G15

Suggested Citation

Hameed, Allaudeen and Kusnadi, Yuanto, Momentum Strategies: Evidence from Pacific Basin Stock Markets. Journal of Financial Research (2002), Vol 25, 383-397, Available at SSRN: https://ssrn.com/abstract=268249

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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