Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

Chowdhury, Shah Saeed Hassan; Sharmin, Rashida; Rahman, Mizanur

doi:10.1177/0972150918803992

Cited by 5 publications

(4 citation statements)

References 56 publications

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“…De Bondt and Thaler, proponents of this strategy, have found a significant advantage in the American stock market. (Ma et al, 2018) found it on the exchanges of several Asian countries, namely China, Hong Kong, Japan, Korea, Malaysia, Singapore, and Taiwan (Chowdhury et al, 2019) found these profits in the Bangladesh market (Reddy et al, 2020) in Shanghai market, and (Truong et al, 2023) in Ho Chi Minh Stock Exchange (HOSE) Vietnam. (Truong et al, 2023) Found the anomaly and, at the same time, also supported the hypothesis that the Vietnam stock market is inefficient in its weak form, so the investors can earn abnormal returns using the contrarian investment strategy.…”

Section: Introductionmentioning

confidence: 99%

Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Sembiring

2024

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This research aims to prove whether firm size and market risk based on CAPM affect return reversal anomalies as indicators of market overreaction during the COVID-19 pandemic. This explanatory research used a sample of stocks on the Indonesia Stock Exchange (IDX) that could be profitable during the pandemic period up to the effective period of phase one and two vaccination. It was found that return reversal anomalies occurred in the short term on the IDX, and contrarian strategies resulted in profits. Factors of firm size and market risk affected the reversal of returns in specific periods but did not affect other periods. When firm size and market risk had no effect, the return reversal anomaly occurred entirely due to the investors' overreaction in response to the pandemic without regard to the size and market risk factors of companies whose stocks were the investment target.

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Section: Introductionmentioning

confidence: 99%

Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Sembiring

2024

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“…De Haan and Kakes (2011) study the use of contrarian strategies by institutional investors. Other works, such as Dhankar and Maheshwari (2014), Shi et al (2015), Doan et al (2016), Shah and Shah (2018), Chen et al (2018), Chowdhury et al (2019), Munir et al (2022), Day and Ni (2023), Jagirdar and Gupta (2023) and Qashqai et al (2023), evaluate the performance of contrarian strategies in various markets.…”

Section: Introductionmentioning

confidence: 99%

Evolution of short-term contrarian profits

Yang

Zhang

2023

SEF

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Purpose The purpose of this paper is to study the US stock market and try to explain why short-term contrarian profits have largely disappeared in the past two decades. Design/methodology/approach In this work, the authors decompose the short-term contrarian profits into cross-sectional variations, firm-level overreactions and lead-lag effects to study the changes in their shares. Then, the authors study the behavior of the subgroups in the winner and loser subportfolios of contrarian investment strategies. Findings The authors find that short-term contrarian profits have largely vanished since 2000. Changes in the shares of the three components of contrarian profits, which are cross-sectional variations, firm-level overreactions and lead-lag effects, are not the main reason for the disappearance of contrarian profits in the past two decades. Instead, the disappearance of short-term contrarian profits is primarily due to the heterogeneous evolution of subgroups in the portfolio, which leads to a decrease in the overall level of overreactions that drive the contrarian profit. Originality/value The work explains the disappearance of short-term contrarian profits in the US stock market.

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“…This study focuses on the stock markets of Bangladesh, India, and Pakistan for two reasons. First, several studies argue that these stock markets are mostly dominated by small investors and noise trading (Brzeszczyński et al, 2015; Chowdhury et al, 2019; Cuthbertson & Nitzsche, 2005; Iqbal, 2012). The investment decisions of small investors in the South-Asian markets are driven by either sentiments or past share price movements which leads to greater price volatility in these markets (Brzeszczyński et al, 2015; Chowdhury et al, 2019; Naik & Reddy, 2021; Shiller, 1990).…”

Section: Introductionmentioning

confidence: 99%

“…First, several studies argue that these stock markets are mostly dominated by small investors and noise trading (Brzeszczyński et al, 2015; Chowdhury et al, 2019; Cuthbertson & Nitzsche, 2005; Iqbal, 2012). The investment decisions of small investors in the South-Asian markets are driven by either sentiments or past share price movements which leads to greater price volatility in these markets (Brzeszczyński et al, 2015; Chowdhury et al, 2019; Naik & Reddy, 2021; Shiller, 1990). In addition, the noise trading further contributes toward enhanced risk in the short term, thereby offering unique justifications for the time-varying return patterns of stock market anomalies.…”

Section: Introductionmentioning

confidence: 99%

Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia

2022

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This study contributes to the growing debate on the relation between varying stock market conditions and the profitability of stock market anomalies. We investigate the effect of changed market conditions on time-varying contrarian profitability in order to examine the presence of the Adaptive Market Hypothesis (AMH) in South Asian emerging stock markets. The empirical findings reveal that a strong contrarian effect holds in all the emerging markets. We also find the stock return opportunities vary over time based on contrarian portfolios. We show that contrarian returns strengthen during the down state of market, higher volatility and crises periods, particularly during the Asian financial crisis. Interestingly, the market state instead of market volatility is the primary predictor of contrarian payoffs, which contradicts the findings of developed markets. We argue that the linkage arises from structural and psychological differences in emerging markets that produce unique intuitions regarding stock market anomalies returns. The overall findings on the time-varying contrarian returns in this study provide partial support to AMH. Another significant outcome of this study implies that investors in South Asian emerging markets, like investors in the developed markets, could not adapt to evolving market conditions. Therefore, contrarian profits often exist, and persistent weak-form market inefficiencies prevail in these markets.

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Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

Cited by 5 publications

References 56 publications

Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Evolution of short-term contrarian profits

Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia

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