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.

Anomalies in Finance Stocks Market.pdf

Download (40kB) | Preview


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
Keyword: Relative Strength Trading Rule, Reversal in Returns, Short-Term Momentum Effect
Subjects: H Social Sciences > HB Economic theory. Demography
H Social Sciences > HG Finance
Department: FACULTY > Faculty of Business, Economics and Accounting
Date Deposited: 20 Nov 2019 10:59
Last Modified: 20 Nov 2019 10:59

Actions (login required)

View Item View Item