Australian Momentum: Performance, Capacity and the GFC Effect

27 Pages Posted: 19 Mar 2020

See all articles by Bruce J. Vanstone

Bruce J. Vanstone

Bond University - Bond Business School

Tobias Hahn

Bond University

Date Written: March 2017

Abstract

This paper assesses the performance of momentum strategies in Australia, and how they were affected by the GFC. This paper is the first to address the issue of the dollar capacity of momentum strategies in the Australian market. We find evidence of a strong momentum effect in Australia amongst the S&P/ASX200 constituents. We find that momentum portfolios suffered during the GFC, but the effect was not persistent. Finally, we show that the capacity of the momentum effect in Australia is large enough in dollar terms to reject the assertion that momentum is more of a theoretical than a practical construct.

Keywords: Momentum, Australia, ASX, Economic viability, GFC

Suggested Citation

Vanstone, Bruce J. and Hahn, Tobias, Australian Momentum: Performance, Capacity and the GFC Effect (March 2017). Accounting & Finance, Vol. 57, Issue 1, pp. 261-287, 2017, Available at SSRN: https://ssrn.com/abstract=3556041 or http://dx.doi.org/10.1111/acfi.12140

Bruce J. Vanstone (Contact Author)

Bond University - Bond Business School

Gold Coast
Australia

Tobias Hahn

Bond University ( email )

Gold Coast, QLD 4229
Australia

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