Concurrent momentum and contrarian strategies in the Australian stock market

Minh Phuong Doan, Vitali Alexeev and Robert Brooks
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Minh Phuong Doan: School of Accounting, Economics and Finance, Deakin University, Melbourne, Australia

Australian Journal of Management, 2016, vol. 41, issue 1, 77-106

Abstract: We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the Australian mining sector undermines the performance of momentum while enhancing performance of contrarian strategies. Lastly, using both parametric and non-parametric approaches, we show that these strategies’ returns are persistent anomalies and not completely explained by standard return-generating models.

Keywords: Model-based bootstrap; momentum and contrarian strategies; technical analysis (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Working Paper: Concurrent momentum and contrarian strategies in the Australian stock market (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:41:y:2016:i:1:p:77-106

DOI: 10.1177/0312896214534864

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