Profitability of momentum strategies in the international equity markets

Kalok Chan, Allaudeen Hameed, Hin Sang Tong

Research output: Journal article publicationJournal articleAcademic researchpeer-review

236 Citations (Scopus)


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 languageEnglish
Pages (from-to)153-172
Number of pages20
JournalJournal of Financial and Quantitative Analysis
Issue number2
Publication statusPublished - 1 Jan 2000
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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