Publication Type
Journal Article
Version
acceptedVersion
Publication Date
2-2008
Abstract
In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during 1990–2000. Except for the Taiwanese and Korean markets, “winner” (“loser”) portfolios experience subsequent reversal (momentum) of stock prices. Among actively traded stocks, significant contrarian profits can be obtained from only “winner” portfolios in Japan, while sizeable momentum profits from “loser portfolios” in both Japan and Hong Kong.
Keywords
Trading strategies, Trading activities, Profitability
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
International Review of Financial Analysis
Volume
17
Issue
2
First Page
312
Last Page
229
ISSN
1057-5219
Identifier
10.1016/j.irfa.2006.03.001
Publisher
Elsevier
Citation
McInish, Thomas H.; Ding, David K.; PYUN, Chong Soo; and Wongchoti, Udomsak.
Short-horizon Contrarian and Momentum Strategies in Asian Markets: An Integrated Analysis. (2008). International Review of Financial Analysis. 17, (2), 312-229.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3592
Copyright Owner and License
Authors
Additional URL
https://doi.org/10.1016/j.irfa.2006.03.001