Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis
Abstract
In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during 1990-2000. Except for the Taiwanese and Korean markets, "winner" ("loser") portfolios experience subsequent reversal (momentum) of stock prices. Among actively traded stocks, significant contrarian profits can be obtained from only "winner" portfolios in Japan, while sizeable momentum profits from "loser portfolios" in both Japan and Hong Kong. © 2006 Elsevier Inc. All rights reserved.
Publication Title
International Review of Financial Analysis
Recommended Citation
McInish, T., Ding, D., Pyun, C., & Wongchoti, U. (2008). Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis. International Review of Financial Analysis, 17 (2), 312-329. https://doi.org/10.1016/j.irfa.2006.03.001
