Do momentum and reversal matter in the Singapore stock market?

This study aims to determine whether there is a market overreaction phenomenon in the Indonesia Stock Exchange which is classified as an emerging market and the Singapore Stock Exchange which is classified as a developed market. This research was conducted in a weekly period during 2016-2019. This study uses sample included in the LQ-45 index for the Indonesia Stock Exchange and the top 30 market cap for the Singapore Stock Exchange. This research found that there was a market overreaction in the Indonesia Stock Exchange, especially the loser portofolio which experienced the strongest reversal. Meanwhile, the significance value in the one sample t-test for the average cumulative abnormal return difference value is not significance. While the results of research on the Singapore Stock Exchange found no market overreaction phenomenon as indicated by a negative and insignificance average cumulative abnormal return difference. The result showed that the Indonesia Stock Exchange has not been efficient where investors tend to overreact in responding to information while investors on the Singapore Stock Exchange are rational.

show abstract

“…shows different results Ali (2020). found positive return momentum in the short term and no reversal in the long term.…”

mentioning

confidence: 91%

Comparative Analysis of Market Overreaction in Indonesia and Singapore Stock Exchange 2016-2019

Meiliani

Puspita

Tarigan³

et al. 2021

IJEBA

View full text Add to dashboard Cite

show abstract

“…Furthermore, research on the Singapore Exchange conducted by [21] states that the occurrence of higher price momentum in the short-term and lasts into the long-term. This momentum occurs in small companies that are stable and have a good level of volatility.…”

Section: A Research On Momentum Strategies In Asian Capital Marketsmentioning

confidence: 99%

A Review of Momentum Strategy in Capital Market

Syamni¹,

Wardhiah²,

Sari³

et al. 2021

Proceedings of the International Conference on Social Science, Political Science, and Humanities (ICoSPOLHUM 2020)

View full text Add to dashboard Cite

This research is a literature research review that focuses on the topic of the momentum strategy in the capital market. This strategy is a trading strategy carried out by investors by buying stocks that have performed well in the hope that the performance will continue well in the future. The results of the study show that most of the capital market investors carried out a momentum strategy even though the implementation is still inconsistent. It indicates that the development of several capital markets leads to inefficient markets.

show abstract

“…Also, Elhaei Sahar et al et (2020) on the Iran Stock Exchange find that there is a momentum strategy even though it is associated with many factors that cause it, such as; macroeconomic variables, market, and company and even social background. Ali (2020) The Singapore Stock Exchange found that the momentum effect only occurs in the short term. (2019) find that strategic momentum is carried out by institutional investors, while retail investors used a contrarian strategy.…”

Section: Introductionmentioning

confidence: 99%

“…reveal that the use of momentum strategies provides profits in the short and medium-term in several Middle Eastern countries and find that. Elhaei Sahar et al(2020) reveals that the momentum strategy cannot be said as speculation in the Iranian capital market Ali (2020). strengthens that the use of the momentum strategy is more profitable in the Singapore market.Meanwhile, several previous studies on the Indonesian Stock Exchange are also in line with this research, such as Liem (2012), Rafik and Marizka (2017), Murhadi and Abrianto (2019) state that the momentum strategy is slightly superior to use.…”

mentioning

confidence: 99%

Do Domestic Investors with the Smallest Trading Orders Use Momentum Strategies in The IDX?

Syamni

Wardhiah

Majid

et al. 2021

Int. res. j. bus. stud.

View full text Add to dashboard Cite

This study aims to examine the use of the momentum strategy of domestic investors who trade small order sizes on IDX. The data used in this study is intraday trade transaction data from the LQ 45 Index for March, April and May 2017 obtained from The Indonesia Capital Market Institute. The method of data analysis used is the market-adjusted model approach. The results of this study indicate that domestic investors who trade in small order sizes tend to use the momentum strategy in government and non-government stock issuers. This finding implies that when IDX is in a good performance, investors should take advantage of this condition because buying stocks that have already been performing well provides a significant short-term abnormal return.

show abstract

Do momentum and reversal matter in the Singapore stock market?

Cited by 3 publications

References 48 publications

Comparative Analysis of Market Overreaction in Indonesia and Singapore Stock Exchange 2016-2019

Comparative Analysis of Market Overreaction in Indonesia and Singapore Stock Exchange 2016-2019

A Review of Momentum Strategy in Capital Market

Do Domestic Investors with the Smallest Trading Orders Use Momentum Strategies in The IDX?

Contact Info

Product

Resources

About