Momentum Effect: Developed vs. Emerging Stock Markets
In the recent debates over the informational efficiency of the stock markets, particular attention has been paid to the momentum violating the traditional finance theory which is being taught at business schools. Although many empirical findings support the existence of price momentum, there are still many angles to be researched for the sake of complete understanding of the momentum phenomenon. This paper will emphasize the importance of country selection for the profitability of momentum strategies since academic literature lacks the comparison of the momentum profitability across Emerging and Developed stock markets. Therefore, the main objective of the paper is to investigate the profitability difference of momentum effect between Emerging and Developed stock markets. The study will embrace back-testing stock markets across pre-crisis (year 2005 to 2007) and crisis (year 2008 to mid-2010) periods.
KeywordsMomentum effect stock markets efficient market hypothesis behavioural finance
Unable to display preview. Download preview PDF.
- 1.Balaban, E., Kunter, K.: Financial Market Efficiency in a Developing economy: The Turkish Case. The Central Bank of the Republic of Turkey. Discussion paper no: 9611 (1996)Google Scholar
- 2.Bechev, I.: Efficient Market Hypothesis: Budapest, Prague and Warsaw Stock Exchanges. Central European University (2004)Google Scholar
- 3.Bird, R., Casavecchia, L.: The Profitability of Price and Earning Momentum across the European Markets. University of Technology, Sydney (2004)Google Scholar
- 8.Dijk, R., Huibers, F.: European Price Momentum and Analyst Behavior (2002)Google Scholar
- 9.Du, D., Zhao, X.: Momentum and Autocorrelation in Stock Returns. International Research Journal of Finance and Economics (50), 157–173 (2010)Google Scholar
- 12.Gupta, R., Basu, P.K.: Weak Form Efficiency in Indian Stock Market. International Business & Economic Research Journal 6(3), 57–64 (2007)Google Scholar
- 13.Hall, S., Urga, G., Zalewska-Mitura, A.: Testing for Evolving Market Efficiency with an application to Russian stock prices. London Business School Discussion Paper No. DP 12-98 (1998)Google Scholar
- 14.Hanousek, J., Filer, R.: The Extent of Efficiency in Central European Equity Markets. Charles University in Prague, Center of Economic Research and Graduate education (1999)Google Scholar
- 17.Jegadeesh, N.: Momentum. Univeristy of Illinois (2001)Google Scholar
- 19.Mobarek, A., Keasey, K.: Weak-form market efficiency of an emerging Market: Evidence from Dhaka Stock Market of Bangladesh. University of Leeds, UK (2000)Google Scholar
- 20.Nathan, D.: Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Bar Ilan University (2006)Google Scholar