Anomalies in Finance Stocks Market: Momentum Effect and Return Reversal
This study applies relative strength trading rule to analyse momentum effect and return reversal in the finance sector of Malaysia for the period of January 1997–December 2014. We construct J/K overlapping portfolios consisting of finance stocks over 1–12 months short investing horizons The estimate...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/24143/1/Anomalies%20in%20Finance%20Stocks%20Market.pdf https://eprints.ums.edu.my/id/eprint/24143/ https://doi.org/10.1166/asl.2018.10938 |
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