Short-horizon Contrarian and Momentum Strategies in Asian Markets: An Integrated Analysis

• Main Authors: McInish, Thomas H., Ding, David K., PYUN, Chong Soo, Wongchoti, Udomsak
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Trading strategies; Trading activities; Profitability; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3592; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4591/viewcontent/Short_horizon_contrarian_2008_av.pdf
• Institution: Singapore Management University

In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during 1990–2000. Except for the Taiwanese and Korean markets, “winner” (“loser”) portfolios experience subsequent reversal (momentum) of stock prices. Among actively traded stocks, significant contrarian profits can be obtained from only “winner” portfolios in Japan, while sizeable momentum profits from “loser portfolios” in both Japan and Hong Kong.