Momentum Effect all over the World
| Autor: | Zulfiqar Ali Imran, Woei-Chyuan Wong, Rusmawati Ismail |
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| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | The International Journal of Banking and Finance, Vol 14 (2020) |
| Druh dokumentu: | article |
| ISSN: | 2811-3799 2590-423X |
| DOI: | 10.32890/ijbf2019.14.0.9912 |
| Popis: | This study is intended to reaffirm the existence and profitability of momentum investment strategies in 40 countries around the world during the period 1996–2018. The contradictory findings of previous research on the existence and profitability of momentum strategies have raised a pertinent question on the validity of efficient market hypothesis. We documented the momentum effect in 90% of our sample countries of which 52.5% exhibited positive momentum effect while 37.5% exhibited negative momentum effect. The findings were robust to two distinct sub-period analyses. The clear rejection of efficient market hypotheses is valuable to momentum traders and stock market regulators. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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