Do momentum and reversal matter in the Singapore stock market?

Syed Riaz Mahmood Ali

Asia-Pacific Journal of Accounting & Economics, 2022, vol. 29, issue 6, 1692-1708

Abstract: This paper shows the presence of positive momentum return in the short run but no subsequent price reversal in the Singapore Market. Rather, price momentum continues in the long run. It also demonstrates that momentum profit is higher for the small and highly volatile firms rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are used to show the relationships.

Date: 2022
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DOI: 10.1080/16081625.2020.1754255

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Asia-Pacific Journal of Accounting & Economics is currently edited by Yin-Wong Cheung, Hong Hwang, Jeong-Bon Kim, Shu-Hsing Li and Suresh Radhakrishnan

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