Industry- and liquidity-based momentum in Australian equities

Yeng May Tan () and Fan Fah Cheng ()
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Yeng May Tan: Xiamen University Malaysia
Fan Fah Cheng: Faculty of Economics and Management, Universiti Putra Malaysia

Financial Innovation, 2019, vol. 5, issue 1, 1-18

Abstract: Abstract This study examined momentum profitability in Australia, providing further evidence for intermediate-term momentum profitability. Using data spanning different market states, we found that momentum was stronger after the global financial crisis. We also examined industry-level momentum strategies and found strong evidence for industry momentum. Specifically, industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform poorly. This finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry level. Regarding liquidity, we found that it has no clear predictive power for momentum returns. Hence, our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.

Keywords: Momentum strategy; Stock momentum; Industry momentum; Liquidity; Market states; Australia (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1186/s40854-019-0155-z

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