The profitability of momentum strategies in Singapore.
We study the profitableness of three unique momentum investment strategies in the Singapore stock market (SGX). Previous studies done on Australian and US markets find that the 52-Week High Momentum strategy dominates Jegadeesh and Titman’s Price Momentum strategy and Moskowitz and Grinblatt’s Indus...
Saved in:
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2009
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/15247 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | We study the profitableness of three unique momentum investment strategies in the Singapore stock market (SGX). Previous studies done on Australian and US markets find that the 52-Week High Momentum strategy dominates Jegadeesh and Titman’s Price Momentum strategy and Moskowitz and Grinblatt’s Industry Momentum strategy. We therefore investigate the profitability of the 52-Week High strategy against the former two strategies. Our results suggest that the 52-week high strategy in this case does not dominate the other two strategies. Furthermore, the results of our final test which involves a cross-sectional regression analysis that models the stocks’ return with all the three strategies is consistent with the pairwise comparison (second test) in affirming that Moskowitz and Grinblatt’s Industrial Momentum strategy dominates the 52-Week High Momentum strategy and JT’s Price Momentum strategy. |
|---|