Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147405
Title: MOMENTUM STRATEGY IN EMERGING MARKETS AND THE EFFECT OF THE MARKET DOWNTURN ON MOMENTUM PROFITABILITY
Authors: LONG YUAN
Keywords: Momentum profit, Emerging markets, Regional analysis, Market downturn
Issue Date: 2010
Citation: LONG YUAN (2010). MOMENTUM STRATEGY IN EMERGING MARKETS AND THE EFFECT OF THE MARKET DOWNTURN ON MOMENTUM PROFITABILITY. ScholarBank@NUS Repository.
Abstract: This paper documents the presence or absence of momentum profitability at individual stock level in 21 emerging markets using market data from 1994 to 2009. Momentum profitability is inconsistent across emerging markets and return varies substantially. 5 out of the 21 markets examined exhibit return continuation over short to medium term with significant momentum profits. Momentum strategy implemented at regional level instead of market level improves consistency of profitability. European emerging markets share regional factors while Asian and Latin American markets’ momentum effect is more country-specific. Lastly, confirming to previous research findings from developed markets, the market downturn state is found to reduce momentum profits in emerging markets as well.
URI: http://scholarbank.nus.edu.sg/handle/10635/147405
Appears in Collections:Bachelor's Theses

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