Style momentum in Hong Kong, Korea and Singapore stock markets
Employing momentum trading strategies is counter to conventional rational investment behaviour. Interestingly, style momentum strategies in particular, are gaining popularity because of its proven profitability in developed markets. In this report, the focus is on Asian stock markets, where...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/15108 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | Employing momentum trading strategies is counter to conventional rational investment
behaviour. Interestingly, style momentum strategies in particular, are gaining popularity
because of its proven profitability in developed markets. In this report, the focus is on
Asian stock markets, where we investigate the profitability of style momentum
investment strategies for Singapore, Hong Kong and South Korea stock exchanges, using
all listed stocks, excluding REITs, over the period of 1993-2007. Our results reveal that
style momentum investment strategies do not yield significant momentum profits in the
three emerging markets. There is also no indication of statistical significant differences
between style and price portfolios. Future research may seek to investigate the other
emerging markets and consider other factors such as economic variables, information
diffusion and economic cycles. |
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