The profitability of momentum strategies in Singapore.

• Main Authors: Tho, Hup Seng., Yap, Alvin Wee Leong., Loi, Gabriel Pui Liang.
• Other Authors: Lau Sie Ting
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/15247
• Institution: Nanyang Technological University

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...