Profitability of momentum strategies in the international equity markets

Kalok Chan; Allaudeen Hameed; Hin Sang Tong

doi:10.2307/2676188

Profitability of momentum strategies in the international equity markets

Kalok Chan, Allaudeen Hameed, Hin Sang Tong

Research output: Journal article publication › Journal article › Academic research › peer-review

236 Citations (Scopus)

Abstract

This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices - very little profit comes from predictability in the currency markets. We also lind higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis.

Original language	English
Pages (from-to)	153-172
Number of pages	20
Journal	Journal of Financial and Quantitative Analysis
Volume	35
Issue number	2
DOIs	https://doi.org/10.2307/2676188
Publication status	Published - 1 Jan 2000
Externally published	Yes

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.2307/2676188

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abstract = "This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices - very little profit comes from predictability in the currency markets. We also lind higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis.",

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Profitability of momentum strategies in the international equity markets

Abstract

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