Momentum and Contrarian Strategies on ASEAN Markets

Shangkari V. Anusakumar, Ruhani Ali and Chee-Wooi Hooy

Chapter 9 in Emerging Markets and Financial Resilience, 2013, pp 147-168 from Palgrave Macmillan

Abstract: Abstract Momentum strategy entails buying stocks with a recent history of good performance and selling stocks with bad performance (Jegadeesh & Titman, 1993). On the contrary, contrarian strategy proposes a trading strategy of buying poorly performing stocks and selling better-performing stocks (De Bondt & Thaler, 1985). Underlying the contrarian strategy is the belief that prices will reverse, whereas proponents of momentum strategy contend that return continuation will occur. Both strategies are successful at different time horizons: intermediate term for momentum and long term for contrarian.

Keywords: Stock Market; Portfolio Return; Asian Market; Momentum Strategy; Ranking Period (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-26661-3_9

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DOI: 10.1057/9781137266613_9

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