Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market

2015 ◽  
Vol 23 (4) ◽  
pp. 543-569
Author(s):  
Jun Ho Hwang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Abnormal Returns ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Price Limit ◽  
Holding Period ◽  
Momentum Profits ◽  
Korean Stock Market

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.

The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock Market

2017 ◽  
Vol 21 (1) ◽  
pp. 1-12 ◽  
Author(s):  
Supriya Maheshwari ◽  
Raj S. Dhankar
Keyword(s):  
Stock Market ◽  
Financial Crises ◽  
Convincing Evidence ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Crisis Period ◽  
Holding Period ◽  
Momentum Profits ◽  
International Stock Markets ◽  
Indian Stock Market

There is a plethora of research that suggests profitability of momentum strategies in international stock markets. The current study adds to the existing literature by exploring the same in the Indian stock market over the more recent years. In addition, the study aims to test whether the momentum strategy performs persistently and remains consistent even during financial crises periods, emphasizing on the recent global meltdown of 2008. Eight momentum strategies were investigated with different combinations of formation and holding period and the study adds convincing evidence in favour of Indian momentum profitability. Statistically as well as economically significant momentum returns were observed that remained statistically significant even after risk adjustment. However, the financial crisis induced significant changes in the Indian momentum profitability. The momentum returns were observed to be positively high during pre-crisis period that turn negative during crisis period and again reverse to generate high momentum returns during the post-crisis period. The evidence indicates non-stability of momentum profits wherein momentum strategies crash during the financial crises periods.

scholarly journals Contrarian and Momentum Strategies in the Indian Capital Market

2002 ◽  
Vol 27 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Sanjay Sehgal ◽  
I Balakrishnan
Keyword(s):  
Stock Returns ◽  
Indian Market ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Holding Period ◽  
The Us ◽  
One Year

The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in conformity with those for developed capital markets such as the US.

Market Liquidity and Momentum Profits : Evidence from the Korean Stock Market

2018 ◽  
Vol 26 (4) ◽  
pp. 497-524
Author(s):  
Changha Kim ◽  
Changjun Lee
Keyword(s):  
Stock Market ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Full Sample ◽  
Momentum Profits ◽  
Significant Difference ◽  
Korean Stock Market ◽  
The Difference

Previous literature in the Korean stock market has shown that the momentum effect is not observed during pre-2000 period while it is observed during post-2000 period. Given that market illiquidity has substantially decreased during post-2000 period, we examine whether the level of market illiquidity affect the momentum profits. The central findings are summarized as follows. First, our full-sample analysis shows that market liquidity is positively associated with momentum profits, meaning that the observed momentum effect during post-2000 period is related to the decrease in market illiquidity. Second, during pre-2000 period, when the market illiquidity is very high, the illiquidity of past losers is extremely high compared to that of past winners. However, there is no significant difference in illiquidity between winners and losers during post-2000 period. Third, based on this result, we conjecture that the momentum effect is related to the different compensation for liquidity risk between past losers and winners, and test whether this is indeed the case. We find significant momentum profits over the whole period when we consider the compensation for the liquidity risk of past losers and winners. In addition, during pre-2000 period, the return on momentum strategy that controls the liquidity risk is substantially higher than the actually observed momentum profits. In sum, our study suggests that the difference in compensation for liquidity risk between past losers and winners is very important in understanding the momentum effect in the Korean stock market.

scholarly journals Profitability of the Momentum Strategies in the Tunisian Stock Market

2016 ◽  
Vol 7 (1) ◽  
pp. 17 ◽  
Author(s):  
Ramzi Boussaidi ◽  
Chaima Hmida
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Momentum Strategies ◽  
Stock Performance ◽  
Listed Firms ◽  
Holding Period ◽  
The Past ◽  
Cumulative Abnormal Returns

This paper examines the profitability of the momentum strategies in the Tunisian stock market using all the listed firms for the period 1991-2015. The stock performance is measured by the returns and the cumulative abnormal returns during a formation and holding period of 3-12 months. We found evidence of momentum profitability especially for the sub-period 2003-2015. Buying the tercile or the quintile portfolio of stocks that have performed well in the past 3, 6 and 9 months and selling the tercile or quintile of the stocks that have performed poorly during the same periods, generate statistically and economically positive returns during the subsequent 3, 6, 9 and 12 months.

scholarly journals The effect of short-term return reversals on momentum profits

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Myounghwa Sim ◽  
Hee-Eun Kim
Keyword(s):  
Stock Market ◽  
Term Structure ◽  
Stock Return ◽  
Short Term ◽  
Past Performance ◽  
Momentum Profits ◽  
Korean Stock Market ◽  
Return Reversal ◽  
Return Reversals

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.

scholarly journals A New Momentum Strategy Based on Chinese Securities Market

2019 ◽  
Vol 14 (12) ◽  
pp. 90
Author(s):  
Jin Zhang ◽  
Yuxiu Zhang ◽  
Yongqi Dong
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Market Price ◽  
Abnormal Returns ◽  
Theory And Practice ◽  
Securities Market ◽  
Momentum Effect ◽  
Short Term ◽  
Market Theory ◽  
Momentum Strategy

Facing the current gaps with regard to the momentum effect in Chinese securities market, a momentum strategy was constructed to compare the securities market price under the effective market theory with under the non-effective market theory by the Hushen 300 index from 2006 to 2015 and a stock price residual measurement model. An important result was that the root cause of the momentum effect was systematic irrational behavior. On this basis, a new momentum strategy was constructed based on RSP (Residual of Stock Price), and the performance of that strategy was tested in different ranking and holding periods. The new momentum strategies were obtained positive average cumulative abnormal returns in the super short-term, short term and medium term. This finding confirmed the significant existence of the momentum effect in China’s stock market and the validity of the RSP momentum strategy. Therefore, this finding can be contributed to effectively addressed the current gaps and examine the applicability of classic asset pricing theory and behavioral finance theory in China's stock market. Finally, after considering the transaction costs, the momentum strategy is effective in both theory and practice.

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

The Risk-Managed Momentum Strategy in the Korean Stock Market

2017 ◽  
Vol 15 (1) ◽  
pp. 29-46
Author(s):  
Kyung-Woo Sohn ◽  
Byoung-Uk Yoon ◽  
Bo-Hyun Yun
Keyword(s):  
Stock Market ◽  
Momentum Strategy ◽  
Korean Stock Market
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