EconPapers    
Economics at your fingertips  
 

Applicability of Contrarian Strategy in the Bombay Stock Exchange

Stuart Locke and Kartick Gupta ()
Additional contact information
Stuart Locke: Stuart Locke, Associate Professor of Finance, Department of Finance, University of Waikato, Hamilton, 2001, New Zealand. E-mail: smlocke@waikato.ac.nz, Tel: +64 7 838 4756, Fax: +64 7 838 4331.

Journal of Emerging Market Finance, 2009, vol. 8, issue 2, 165-189

Abstract: The application of contrarian strategies in the Bombay Stock Exchange (BSE) are examined in this paper, shedding further light on competing explanations underlying this anomaly. Three specific issues are investigated using several models. First, can a trader book a profit by employing a contrarian strategy? The test portfolio earned a contrarian profit of 74.40 per cent above the market return. Second, risk differences between Winner and Loser portfolios are found to be an independent phenomenon. Third, the size of the firm appears to play a vital role in explaining the overreaction hypothesis.

Keywords: Contrarian strategy; efficient market hypothesis; size effect; JEL Classification: G14; JEL Classification: G15 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://emf.sagepub.com/content/8/2/165.abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:8:y:2009:i:2:p:165-189

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().

 
Page updated 2021-03-28
Handle: RePEc:sae:emffin:v:8:y:2009:i:2:p:165-189