Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis

McInish, Thomas H.; Ding, David K.; Pyun, Chong Soo; Wongchoti, Udomsak

doi:10.1016/j.irfa.2006.03.001

Cited by 44 publications

(21 citation statements)

References 61 publications

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“…Their study is based on the stocks listed on Kuala Lumpur Stock Exchange. A positive relationship between trading volume and contrarian profits is found by McInish et al (2008), supporting that the reversals were higher for high volume stocks for Hong Kong, Malaysia and Japan.…”

Section: Review Of Related Literaturementioning

confidence: 72%

Stock Market Reactions on Returns and Trading Volume: The Impact of the Global Financial Crisis

Sohail¹,

Rehman²,

Javid³

2017

RECFin

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Objective: This study empirically examines the short term under-and overreaction effect in the Karachi Stock Exchange, Pakistan, in the context of the 2008 Global Financial Crisis considering the period from September 2007 to 2009. Background: Investors' probable reaction to an anticipated or unforeseen event is gaining immense importance in order to understand the complex market behavior. The arrival of good or bad news can tend to bring about a rise or decline in the stock price even if the news does not directly impact company's performance. Method: The sample data for the stock price, trading volume and KSE 100 index are obtained from the Karachi Stock Exchange (KSE) and Securities and Exchange Commission of Pakistan (SECP) websites for the period September 2007 to 2009. To reach our objective, we used event studies. Results: There is evidence of significant overreaction in the first two weeks and significant underreaction in the 12th and 24th week following specifically in the financial sector. For the non-financial sector, the returns stay positive and insignificant for both the winner and loser portfolios thereby negating any evidence of significant overreaction. Contributions: We wants to contribute to the existing literature, testing the under-and overreaction hypothesis in an emerging market. Our study also attempts to draw attention to any evidence of returns reversal in the loser and winner portfolios based on the trading volume. Investors may capitalize on the trading volume information to earn contrarian profits. Keywords: Underreaction; Overreaction; Efficient Market Hypothesis; Event Study; Return Reversals. INTRODUCTIONInvestors' probable reaction to an anticipated or unforeseen event is gaining immense importance in order to understand the complex market behavior. The arrival of good or bad news can tend to bring about a rise or decline in the stock price even if the news does not directly impact company's performance. Such fluctuations in the prices signify certain anomalies that help to understand the irrational behavior of the investors. Therefore, among other possibilities, the market may overall exhibit under reaction or overreaction -a phenomenon that is attributed to the inconsistent investor behavior, which can be associated with events like the international financial crisis. This study attempts to analyze the presence of any such under and overreaction in the short term, in order to better understand the impact and magnitude of 2008 financial crisis, on the Pakistani stock market. It is expected that there was not any severe impact of 2008 crisis on the local economy due to its limited international linkages.The association between stock prices and new information arrival has led towards the development of hypotheses based on the behavioral aspects of investor decision making. For example, the heuristic of anchoring proposes that people often relate themselves to some specific elements or conditions of reference in order to make decisions conveniently. Brown, Harlow, and Tini...

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Section: Review Of Related Literaturementioning

confidence: 72%

Stock Market Reactions on Returns and Trading Volume: The Impact of the Global Financial Crisis

Sohail¹,

Rehman²,

Javid³

2017

RECFin

View full text Add to dashboard Cite

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“…The author also found that stocks prices have shown price continuation behavior that lasted for at least one year and it shared inverse relationship with the size of the firm. McInish et al (2008) examined 7 stock markets of Asian countries for short term momentum effect. They considered different factors, for example, investors' reaction to new information, activities of trading and size charac teristics etc.…”

Section: Introductionmentioning

confidence: 99%

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Ejaz

Polák

2015

Business: Theory and Practice

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Abstract. The objective of this paper is to find short term momentum effect in stock markets of the Middle East and to examine whether short term momentum profits can be explained by risk based CAPM model. Seven major stock markets from the Middle East were selected. Short term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon. Future research should include more stock markets in order to have a better understanding of Middle Eastern stock markets.

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“…Momentum and contrarian strategies have been tested for several mature and emerging markets (Rouwenhorst, 1998;Griffin, Ji &Martin, 2003;Chui, Titman & Wei, 2010, McInish, Ding, Pyun & Wongchoti, 2008Hameed & Kusnadi, 2002;Antoniou, Lam & Paudyal, 2007;Swanson& Lin, 2005, Schiereck, DeBondt &Weber, 1999Vu, 2012). Momentum has consistently emerged as a profitable investment strategy in the Indian market over various time periods.…”

Section: 2mentioning

confidence: 99%

Profitability of Style based Investment Strategies: Evidence from India

Subramaniam

Sharma

Sehgal

2017

AJFA

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In this paper, we aim to identify profitable investment styles on the Indian stock market by using various combinations of important stock pricing anomalies consisting of. size, value, volume, profitability, earnings surprises, short term and long term prior returns. Using NSE200 stocks, three different investment styles viz. univariate, independent bivariate and (2015) model do not provide any incremental explanatory power over the three factor model, recommending the use of the latter as a baseline to evaluate investment strategies in India. The highest supernormal returns of 1.1% per month are obtained from combining attributes and employing the conditional bivariate investment strategy viz.E2L1 (earnings momentum-Liquidity), M2S1 (price momentum-size), E2M3 (earnings momentum-price momentum). The findings are pertinent to portfolio managers, financial regulators and other stakeholders.

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Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis

Cited by 44 publications

References 61 publications

Stock Market Reactions on Returns and Trading Volume: The Impact of the Global Financial Crisis

Stock Market Reactions on Returns and Trading Volume: The Impact of the Global Financial Crisis

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Profitability of Style based Investment Strategies: Evidence from India

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