19 Pages Posted: 4 Mar 2005 Last revised: 24 Mar 2008
Empirical research about the existence of momentum in Emerging Stock Markets shows that profits are in general positive but not always economically and statistically significant. This paper re-examines the momentum phenomenon in 15 emerging markets, using data from 1995 to 2005. Our results are strongly different from previous literature: we found no evidence of momentum and a significant evidence of reversals in most of the markets analysed, even when controlled for systematic risk and size. This is probably due to a faster diffusion and a huge amount of information available in recent years, which are leading to overconfidence and overreaction.
Keywords: Emerging Markets, Reversal, Momentum
JEL Classification: G14, G15
Suggested Citation: Suggested Citation