Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets
This paper empirically investigate the profitability of 6-6 month momentum strategy (Jegadeesh and Titman, 1993) in Hong Kong and Japan stock markets. The abnormal returns are found only in Hong Kong market, and the short position of “losers” in both markets did not generate profits for momentum str...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25234/ |
| _version_ | 1848792942714552320 |
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| author | Zhu, Qianlan |
| author_facet | Zhu, Qianlan |
| author_sort | Zhu, Qianlan |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper empirically investigate the profitability of 6-6 month momentum strategy (Jegadeesh and Titman, 1993) in Hong Kong and Japan stock markets. The abnormal returns are found only in Hong Kong market, and the short position of “losers” in both markets did not generate profits for momentum strategy. As examining the sources of profits, both cross sectional and time varying variations contribute to the profits. |
| first_indexed | 2025-11-14T18:52:25Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25234 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:52:25Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-252342018-03-07T11:40:35Z https://eprints.nottingham.ac.uk/25234/ Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets Zhu, Qianlan This paper empirically investigate the profitability of 6-6 month momentum strategy (Jegadeesh and Titman, 1993) in Hong Kong and Japan stock markets. The abnormal returns are found only in Hong Kong market, and the short position of “losers” in both markets did not generate profits for momentum strategy. As examining the sources of profits, both cross sectional and time varying variations contribute to the profits. 2011-09-23 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25234/1/Qianlan_Zhu.pdf Zhu, Qianlan (2011) Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Zhu, Qianlan Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets |
| title | Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets |
| title_full | Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets |
| title_fullStr | Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets |
| title_full_unstemmed | Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets |
| title_short | Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets |
| title_sort | empirical studies of momentum strategies in hong kong and japan stock markets |
| url | https://eprints.nottingham.ac.uk/25234/ |