Momentum and individual investor trades: Evidence from Singapore

Allaudeen Hameed, Zhenghui Ni and Chek Ann Tan

Pacific-Basin Finance Journal, 2023, vol. 82, issue C

Abstract: This paper examines the role of retail investor trading activity on stock price momentum. We find that there is little evidence of momentum for stocks traded on the Singapore Exchange (SGX) unconditionally and momentum is concentrated in stocks with high market capitalization and high nominal prices. While these stocks are likely to be the trading habitat of institutional investors, they exhibit substantially greater price momentum when they are accompanied by heavy trading by retail investors. Moreover, contrarian trading by retail investors on momentum stocks increases stock price underreaction to information and generates momentum of above 2% per month.

Keywords: Momentum; Retail investors; Clientele effects; Singapore; Trading (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002573

DOI: 10.1016/j.pacfin.2023.102186

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