Size, seasonality, market states and contrarian profits
The study investigates the profitability of contrarian and momentum strategies for short, intermediate and long investment horizons in the Malaysian stock market from 1990-2016. Unlike developed markets, the findings reveal that momentum strategies do not generate profits in Malaysia. Rather, contra...
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| Format: | Article |
| Language: | en |
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Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/20175/1/19039-136011-1-PB.pdf http://journalarticle.ukm.my/20175/ https://ejournal.ukm.my/pengurusan/issue/view/1093 |
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| _version_ | 1834433889435648000 |
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| author | Kew, Si-Roei Tee, Lain-Tze |
| author_facet | Kew, Si-Roei Tee, Lain-Tze |
| author_sort | Kew, Si-Roei |
| building | Tun Sri Lanang Library |
| collection | Institutional Repository |
| content_provider | Universiti Kebangsaan Malaysia |
| content_source | UKM Journal Article Repository |
| continent | Asia |
| country | Malaysia |
| description | The study investigates the profitability of contrarian and momentum strategies for short, intermediate and long investment horizons in the Malaysian stock market from 1990-2016. Unlike developed markets, the findings reveal that momentum strategies do not generate profits in Malaysia. Rather, contrarian strategies realise significant returns over short, intermediate and long investment horizons. Contrarian profits are most pronounced among medium- and small-capitalisation stocks. Moreover, the previously documented February/Chinese New Year effect is evident in contrarian profits. Further, market states are important determinants of contrarian profits. Specifically, contrarian returns are greater following market downturns than market upturns. The findings provide important implications for investors who are considering momentum and contrarian strategies as potential investments. |
| format | Article |
| id | my-ukm.journal.20175 |
| institution | Universiti Kebangsaan Malaysia |
| language | en |
| publishDate | 2018 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | eprints |
| spelling | my-ukm.journal.201752022-10-21T03:27:53Z http://journalarticle.ukm.my/20175/ Size, seasonality, market states and contrarian profits Kew, Si-Roei Tee, Lain-Tze The study investigates the profitability of contrarian and momentum strategies for short, intermediate and long investment horizons in the Malaysian stock market from 1990-2016. Unlike developed markets, the findings reveal that momentum strategies do not generate profits in Malaysia. Rather, contrarian strategies realise significant returns over short, intermediate and long investment horizons. Contrarian profits are most pronounced among medium- and small-capitalisation stocks. Moreover, the previously documented February/Chinese New Year effect is evident in contrarian profits. Further, market states are important determinants of contrarian profits. Specifically, contrarian returns are greater following market downturns than market upturns. The findings provide important implications for investors who are considering momentum and contrarian strategies as potential investments. Penerbit Universiti Kebangsaan Malaysia 2018 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/20175/1/19039-136011-1-PB.pdf Kew, Si-Roei and Tee, Lain-Tze (2018) Size, seasonality, market states and contrarian profits. Jurnal Pengurusan, 52 . pp. 145-152. ISSN 0127-2713 https://ejournal.ukm.my/pengurusan/issue/view/1093 |
| spellingShingle | Kew, Si-Roei Tee, Lain-Tze Size, seasonality, market states and contrarian profits |
| title | Size, seasonality, market states and contrarian profits |
| title_full | Size, seasonality, market states and contrarian profits |
| title_fullStr | Size, seasonality, market states and contrarian profits |
| title_full_unstemmed | Size, seasonality, market states and contrarian profits |
| title_short | Size, seasonality, market states and contrarian profits |
| title_sort | size, seasonality, market states and contrarian profits |
| url | http://journalarticle.ukm.my/20175/1/19039-136011-1-PB.pdf http://journalarticle.ukm.my/20175/ https://ejournal.ukm.my/pengurusan/issue/view/1093 |
| url_provider | http://journalarticle.ukm.my/ |