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Do momentum and reversal matter in the Singapore stock market?

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  • Syed Riaz Mahmood Ali

Abstract

This paper shows the presence of positive momentum return in the short run but no subsequent price reversal in the Singapore Market. Rather, price momentum continues in the long run. It also demonstrates that momentum profit is higher for the small and highly volatile firms rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are used to show the relationships.

Suggested Citation

  • Syed Riaz Mahmood Ali, 2022. "Do momentum and reversal matter in the Singapore stock market?," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 29(6), pages 1692-1708, November.
    • Handle: RePEc:taf:raaexx:v:29:y:2022:i:6:p:1692-1708
    DOI: 10.1080/16081625.2020.1754255
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