Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets

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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...

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Bibliographic Details
Main Author:	Zhu, Qianlan
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/25234/

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