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What should we know about momentum investing? The case of the Australian Security Exchange

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  • Galariotis, Emilios C.

Abstract

This paper investigates Australian momentum strategies and their performance stability separately employing two samples a) the S&P/ASX 200 constituents and b) all market securities; for different time periods and market states. To avoid transaction intensive strategies, non-overlapping portfolios are employed. Results show that momentum performance is not sample specific and is positive in all cases, yet at varying magnitudes for different states and years. The profits are robust to univariate and multivariate risk considerations, seasonality (which is however present), and to different starting months.

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  • Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
    • Handle: RePEc:eee:pacfin:v:18:y:2010:i:4:p:369-389
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    3. Supriya Maheshwari & Raj S. Dhankar, 2017. "The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock Market," Vision, , vol. 21(1), pages 1-12, March.
    4. Jegadeesh, Narasimhan & Titman, Sheridan, 2023. "Momentum: Evidence and insights 30 years later," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    5. Yeng May Tan & Fan Fah Cheng, 2019. "Industry- and liquidity-based momentum in Australian equities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-18, December.
    6. Thanh D Huynh & Daniel R Smith, 2017. "Delisted stocks and momentum: Evidence from a new Australian dataset," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 140-160, February.
    7. Tajaddini, Reza & Crack, Timothy Falcon, 2012. "Do momentum-based trading strategies work in emerging currency markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 521-537.
    8. Emilios C. C Galariotis & Phil Holmes & Vasileios Kallinterakis & Xiaodong S. Ma, 2014. "Market states, expectations, sentiment and momentum: How naive are investors?," Post-Print hal-00943345, HAL.
    9. Daniel Chai & Manapon Limkriangkrai & Philip Inyeob Ji, 2017. "Momentum in weekly returns: the role of intermediate-horizon past performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 45-68, April.
    10. Heaney, Richard & Koh, SzeKee & Lan, Yihui, 2016. "Australian firm characteristics and the cross-section variation in equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 104-115.
    11. Zhuang, Chunjuan, 2018. "Improving performance of exchange rate momentum strategy using volatility information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 741-753.
    12. Zhong, Angel & Limkriangkrai, Manapon & Gray, Philip, 2014. "Anomalies, risk adjustment and seasonality: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 207-218.
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    14. Bruce J. Vanstone & Tom Smith & Tobias Hahn, 2017. "Australian momentum: performance, capacity and the GFC effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(1), pages 261-287, March.
    15. Nick Inglis & Bruce Vanstone & Tobias Hahn, 2019. "Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 657-684, April.
    16. Hsu, Ching-Chi & Chen, Miao-Ling, 2021. "Currency momentum strategies based on the Chinese Yuan: Timing of foreign exchange volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).

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