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Momentum: Further Evidence from Australia

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  • Ji, Xiuqing

Abstract

Much research has been on momentum strategies. This paper makes further contribution by examining momentum in Australia in a 100-year period that had not being examined before: 1883–1984. The findings are that momentum is profitable in Australia from 1883 to 1984. In direct contrast with negative momentum returns in the United States, momentum strategy in Australia is significantly positive in January.

Suggested Citation

  • Ji, Xiuqing, 2016. "Momentum: Further Evidence from Australia," Finance Research Letters, Elsevier, vol. 18(C), pages 234-236.
    • Handle: RePEc:eee:finlet:v:18:y:2016:i:c:p:234-236
    DOI: 10.1016/j.frl.2016.04.021
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    References listed on IDEAS

    as
    1. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    2. repec:bla:jfinan:v:53:y:1998:i:1:p:267-284 is not listed on IDEAS
    3. K. Geert Rouwenhorst, 1999. "Local Return Factors and Turnover in Emerging Stock Markets," Journal of Finance, American Finance Association, vol. 54(4), pages 1439-1464, August.
    4. John M. Griffin & Xiuqing Ji & J. Spencer Martin, 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole," Journal of Finance, American Finance Association, vol. 58(6), pages 2515-2547, December.
    5. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Pirie, Scott & Chan, Ronald King To, 2018. "A two-stage study of momentum investing in Asia: A case of cognitive dissonance?," Research in International Business and Finance, Elsevier, vol. 44(C), pages 340-349.
    2. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.

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    More about this item

    Keywords

    Momentum; Profitability; January;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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