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Analyzing Short Term Momentum Effect on Stock Market of Hong Kong. An Empirical Case Study

Cristi Spulbar (), Zulfiqar Ali Imran () and Ramona Birau ()
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Cristi Spulbar: University of Craiova
Zulfiqar Ali Imran: University of Lahore
Ramona Birau: University of Craiova

Ovidius University Annals, Economic Sciences Series, 2019, vol. XIX, issue 2, 889-894

Abstract: Existence of short-term momentum effect is a widely disputed topic. This paper aims to solve the dispute and examine the presence of short-term momentum effect in the stock market of Hong Kong. Empirical results of 16 monthly price momentum investment strategies suggest that short term momentum effect has been found in Hong Kong’s stock market and it is overwhelmingly strong. Future research should focus on investigating momentum effect using weekly and daily price momentum strategies.

Keywords: momentum strategy; zero cost momentum portfolio; above average return; winner portfolios; loser portfolios (search for similar items in EconPapers)
JEL-codes: C22 G11 G17 O16 Q01 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:ovi:oviste:v:xix:y:2019:i:2:p:889-894