Momentum profitability in Malaysia
This paper reports evidence of short-term momentum profits in a study of 700 stocks traded in the emerging Malaysian stock market. For this purpose, momentum portfolios were formed over a full sample period and other sub-periods that included the Asian Financial Crisis, Global Financial Crisis and t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Putra Malaysia Press
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/34590/ http://psasir.upm.edu.my/id/eprint/34590/1/Momentum%20Profitability%20in%20Malaysia.pdf |
| _version_ | 1848847816296759296 |
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| author | Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq |
| author_facet | Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq |
| author_sort | Tan, Yeng May |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This paper reports evidence of short-term momentum profits in a study of 700 stocks traded in the emerging Malaysian stock market. For this purpose, momentum portfolios were formed over a full sample period and other sub-periods that included the Asian Financial Crisis, Global Financial Crisis and the period between the two crises. Significant negative returns were observed during the economic downturn brought about by the Asian Financial Crisis, consistent with literature. Moreover, the results showed positive returns over the period characterised by rising market index. This finding is consistent with publication and may be explained as due to investors' confidence being high in a rising market. In addition, individual stock momentum observed was studied to determine whether it was attributable to industry effect, which is a less explored topic. The results of the current study showed that strategies of buying past winning industries and selling past losing industries appeared to be profitable in this market. Thus, this research's findings have added to the literature on this topic from an emerging market place. |
| first_indexed | 2025-11-15T09:24:37Z |
| format | Article |
| id | upm-34590 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:24:37Z |
| publishDate | 2014 |
| publisher | Universiti Putra Malaysia Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-345902016-01-21T08:20:24Z http://psasir.upm.edu.my/id/eprint/34590/ Momentum profitability in Malaysia Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq This paper reports evidence of short-term momentum profits in a study of 700 stocks traded in the emerging Malaysian stock market. For this purpose, momentum portfolios were formed over a full sample period and other sub-periods that included the Asian Financial Crisis, Global Financial Crisis and the period between the two crises. Significant negative returns were observed during the economic downturn brought about by the Asian Financial Crisis, consistent with literature. Moreover, the results showed positive returns over the period characterised by rising market index. This finding is consistent with publication and may be explained as due to investors' confidence being high in a rising market. In addition, individual stock momentum observed was studied to determine whether it was attributable to industry effect, which is a less explored topic. The results of the current study showed that strategies of buying past winning industries and selling past losing industries appeared to be profitable in this market. Thus, this research's findings have added to the literature on this topic from an emerging market place. Universiti Putra Malaysia Press 2014-12 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/34590/1/Momentum%20Profitability%20in%20Malaysia.pdf Tan, Yeng May and Cheng, Fan Fah and Hassan, Taufiq (2014) Momentum profitability in Malaysia. Pertanika Journal of Social Sciences & Humanities, 22 (spec. Dec). pp. 1-16. ISSN 0128-7702; ESSN: 2231-8534 http://www.pertanika.upm.edu.my/Pertanika%20PAPERS/JSSH%20Vol.%2022%20(S)%20Dec.%202014/01%20JSSH%20Vol%2022%20(S)%20Dec%202014_pg1-16%20(JSSH-1202-2014).pdf |
| spellingShingle | Tan, Yeng May Cheng, Fan Fah Hassan, Taufiq Momentum profitability in Malaysia |
| title | Momentum profitability in Malaysia |
| title_full | Momentum profitability in Malaysia |
| title_fullStr | Momentum profitability in Malaysia |
| title_full_unstemmed | Momentum profitability in Malaysia |
| title_short | Momentum profitability in Malaysia |
| title_sort | momentum profitability in malaysia |
| url | http://psasir.upm.edu.my/id/eprint/34590/ http://psasir.upm.edu.my/id/eprint/34590/ http://psasir.upm.edu.my/id/eprint/34590/1/Momentum%20Profitability%20in%20Malaysia.pdf |