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Profitability of Momentum Stragegies in theInternational 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 momentumstrategies implemented on international stock marketindices. Our results indicate statiscallysignificant evidence of momentum profits. Themomentum profits arise mainly from time-seriespredictability in stock market indices—very littleprofit comes from predictability in the currencymarkets. We also find higher profits for momentumportfolios implemented on markets with higher volumein the previous period, indicating that returncontinuation is stronger following an increase intrading volume. This result confirms theinformational role of volume and its applicabilityin technical analysis.

Information

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 KongUniversity of Science and Technology, ClearwaterBay, Hong Kong; Hameed, Department of Finance andBanking, Faculty of Business Administration,National University of Singapore, Singapore119260. We thank Hank Bessembinder, JenniferConrad, Mike Cooper, Grant McQueen, AnthonyRichards, Geert Rouwenhorst, Geert Bekaert(associate editor and referee), and seminarparticipants at City University of Hong Kong, HongKong University of Science and Technology,University of North Carolina at Chapel Hill, andthe 1998 AFA meetings in Chicago for helpfulcomments. Chan and Hameed acknowledge thefinancial support from the Fund for Wei LunFellowships (HKUST) and Academic Research Grant(NUS).

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