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Profitability of Momentum Stragegies in the International Equity Markets

Published online by Cambridge University Press:  06 April 2009

Kalok Chan ,
Allaudeen Hameed  and
Wilson Tong
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Abstract

This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statiscally significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices—very little profit comes from predictability in the currency markets. We also find higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 35 , Issue 2 , June 2000 , pp. 153 - 172
Copyright
Copyright © School of Business Administration, University of Washington 2000

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Footnotes

*

Chan and Tong, Department of Finance, Hong Kong University of Science and Technology, Clearwater Bay, Hong Kong; Hameed, Department of Finance and Banking, Faculty of Business Administration, National University of Singapore, Singapore 119260. We thank Hank Bessembinder, Jennifer Conrad, Mike Cooper, Grant McQueen, Anthony Richards, Geert Rouwenhorst, Geert Bekaert (associate editor and referee), and seminar participants at City University of Hong Kong, Hong Kong University of Science and Technology, University of North Carolina at Chapel Hill, and the 1998 AFA meetings in Chicago for helpful comments. Chan and Hameed acknowledge the financial support from the Fund for Wei Lun Fellowships (HKUST) and Academic Research Grant (NUS).

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