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Analyzing Short Term Momentum Effect on Stock Market of Hong Kong. An Empirical Case Study

Author

Listed:
  • Cristi Spulbar

    (University of Craiova)

  • Zulfiqar Ali Imran

    (University of Lahore)

  • Ramona Birau

    (University of Craiova)

Abstract

Existence of short-term momentum effect is a widely disputed topic. This paper aims to solve the dispute and examine the presence of short-term momentum effect in the stock market of Hong Kong. Empirical results of 16 monthly price momentum investment strategies suggest that short term momentum effect has been found in Hong Kong’s stock market and it is overwhelmingly strong. Future research should focus on investigating momentum effect using weekly and daily price momentum strategies.

Suggested Citation

  • Cristi Spulbar & Zulfiqar Ali Imran & Ramona Birau, 2019. "Analyzing Short Term Momentum Effect on Stock Market of Hong Kong. An Empirical Case Study," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 889-894, December.
    • Handle: RePEc:ovi:oviste:v:xix:y:2019:i:2:p:889-894
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    momentum strategy; zero cost momentum portfolio; above average return; winner portfolios; loser portfolios;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development

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