Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147445
Title: MOMENTUM TRADING STRATEGIES : EVIDENCE FROM ASIA AND AUSTRALIA
Authors: CHUA BENG HUAT
Issue Date: 2008
Citation: CHUA BENG HUAT (2008). MOMENTUM TRADING STRATEGIES : EVIDENCE FROM ASIA AND AUSTRALIA. ScholarBank@NUS Repository.
Abstract: This study tests the applicability of Ince and Porter’s (2006) findings on data obtained from Datastream in the Asian and Australian context. For reasons not attributed to illiquidity problems, I find that removing all firms in the smallest size decile (after data cleaning procedures) materially improves momentum profitability. I investigate momentum strategies in five countries in Asia and Australia. From the studies, I find statistically significant momentum profits in Australia and Hong Kong, while momentum effects are less observable in Japan, Singapore and Taiwan. When all stocks are aggregated to form the relative strength portfolios for “All Countries” and “All Countries Ex Japan”, momentum profits disappears. Next, I assign equal country weights to create country-neutral portfolios. The resulting momentum profits become stronger and more significant. Further analysis revealed that when I control for firm size and trading turnover, similar results shows up. Close scrutiny also highlighted that price continuation are stronger and more significant for larger firms in Australia and Hong Kong, and for medium and high turnover groups in Australia, Hong Kong and Singapore. Finally, I find that momentum profits are higher following prior 12 months DOWN market state for Australia, Hong Kong and Japan, but the results are only significant for Hong Kong. Reversals occur for all five countries for the holding periods of t+13 to t+36. These findings can be consistent with behavioral explanations of conservatism bias.
URI: http://scholarbank.nus.edu.sg/handle/10635/147445
Appears in Collections:Bachelor's Theses

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