Australian Stock Exchange and sub-variants of price momentum strategies
Australian Stock Exchange and sub-variants of price momentum strategies
Author(s): Abdullah Ejaz, Petr PolakSubject(s): Economy, Financial Markets
Published by: ТОВ “Консалтингово-видавнича компанія “Ділові перспективи”
Keywords: short-term momentum effect; sub-variants of price momentum strategies; weekly price momentum strategies; trading volume-based momentum strategies; zero-cost momentum portfolios;
Summary/Abstract: The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.
Journal: Investment Management and Financial Innovations
- Issue Year: 15/2018
- Issue No: 1
- Page Range: 224-235
- Page Count: 12
- Language: English
