Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal

Kok, Sook ching and Qaiser Munir, and Hooi, Hooi Lean (2018) Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal. Advanced Science Letters, 24 (4). pp. 2292-2295.

[img]
Preview
Text
Anomalies in Finance Stocks Market.pdf

Download (40kB) | Preview

Abstract

This study applies relative strength trading rule to analyse momentum effect and return reversal in the finance sector of Malaysia for the period of January 1997–December 2014. We construct J/K overlapping portfolios consisting of finance stocks over 1–12 months short investing horizons The estimated average cumulative monthly excess returns from momentum strategy portfolios are in the range of 0.017–0.023, while contrarian strategy portfolios are between 0.023 and 0.029 (in percentage). The market-adjusted returns cannot be explained based on the market risk factor of Capital Asset Pricing Model (CAPM). The findings indicate short-run inefficiency in the weak-form sense.

Item Type: Article
Uncontrolled Keywords: Relative Strength Trading Rule, Reversal in Returns, Short-Term Momentum Effect
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: FACULTY > Faculty of Business, Economics and Accounting
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 20 Nov 2019 02:59
Last Modified: 20 Nov 2019 02:59
URI: http://eprints.ums.edu.my/id/eprint/24143

Actions (login required)

View Item View Item