Size, seasonality, market states and contrarian profits

Research output: Contribution to journalArticle

Abstract

The study investigates the profitability of contrarian and momentum strategies for short, intermediate and long investment horizons in the Malaysian stock market from 1990-2016. Unlike developed markets, the findings reveal that momentum strategies do not generate profits in Malaysia. Rather, contrarian strategies realise significant returns over short, intermediate and long investment horizons. Contrarian profits are most pronounced among medium- and small-capitalisation stocks. Moreover, the previously documented February/Chinese New Year effect is evident in contrarian profits. Further, market states are important determinants of contrarian profits. Specifically, contrarian returns are greater following market downturns than market upturns. The findings provide important implications for investors who are considering momentum and contrarian strategies as potential investments.

Original languageEnglish
JournalJurnal Pengurusan
Volume52
Publication statusPublished - 1 Jun 2018

Fingerprint

Seasonality
Profit
Market states
Contrarian strategy
Momentum strategies
Investment horizon
Capitalization
Investors
Profitability
Malaysia
Stock market

Keywords

  • Contrarian strategies
  • Firm size
  • Market states
  • Momentum strategies
  • Monthly seasonality

ASJC Scopus subject areas

  • Business and International Management
  • Accounting
  • Business, Management and Accounting (miscellaneous)

Cite this

Size, seasonality, market states and contrarian profits. / Kew, Si Roei; Tee, Lain Tze.

In: Jurnal Pengurusan, Vol. 52, 01.06.2018.

Research output: Contribution to journalArticle

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