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Momentum effect and market states: Emerging market evidence

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dc.title Momentum effect and market states: Emerging market evidence en
dc.contributor.author Pathirawasam, Chandrapala
dc.contributor.author Kráľ, Miloš
dc.relation.ispartof E+M Ekonomie a Management
dc.identifier.issn 1212-3609 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2012
utb.relation.volume 15
utb.relation.issue 2
dc.citation.spage 115
dc.citation.epage 124
dc.type article
dc.language.iso en
dc.publisher Technická univerzita v Liberci cs
dc.relation.uri http://www.ekonomie-management.cz/archiv/vyhledavani/detail/832-momentum-effect-and-market-states-emerging-market-evidence/
dc.subject Colombo stock exchange en
dc.subject Market states en
dc.subject Momentum effect en
dc.description.abstract This paper examines the momentum effect in Colombo Stock Exchange (CSE) from January 1995 to December 2008. The sample of the study includes all the voting stocks traded at CSE. Stocks are selected for the strategies implemented in this study based on their returns over the past 3, 6, 9 and 12 months and hold the selected stocks for 3, 6, 9 and 12 months respectively. This gives a total of 16 strategies. In order to identify the relation between market states and momentum effect, the entire sample is divided into two sub periods, January 1995 to September 2001 and October 2001 to July 2008. The first sub period was mainly bearish and the second sub period was mainly bullish. For the overall sample, all the strategies show positive and statistically significant momentum effects. When there is a time lag between the formation period and the holding period, the most successful momentum strategy is the 12 months/3 months strategy where stocks are selected based on their returns over the past 12 months and then holds them for next 3 months. This strategy yields returns of 0.728 percent per month. Further, the momentum effect is stronger in the down market stance than in the up-market stance. In the up-market, virtually all the portfolios are winners since difference between return on the winner portfolios and return on the loser portfolios are negligible. By contrast, in the down-market stance, all the winner portfolios are positive while all the loser portfolios are negative. Hence the winner portfolios significantly outperform the loser portfolios. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1002903
utb.identifier.rivid RIV/70883521:28120/12:43867926!RIV13-MSM-28120___
utb.identifier.obdid 43868017
utb.identifier.scopus 2-s2.0-84863669074
utb.identifier.wok 000306893100010
utb.source j-scopus
dc.date.accessioned 2012-07-31T10:35:35Z
dc.date.available 2012-07-31T10:35:35Z
dc.rights Attribution-NonCommercial 4.0 International
dc.rights.uri http://creativecommons.org/licenses/by-nc/4.0/
dc.rights.access openAccess
utb.contributor.internalauthor Pathirawasam, Chandrapala
utb.contributor.internalauthor Kráľ, Miloš
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