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Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis

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  • McInish, Thomas H.
  • Ding, David K.
  • Pyun, Chong Soo
  • Wongchoti, Udomsak
Abstract
In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, and Singapore during 1990-2000. Except for the Taiwanese and Korean markets, "winner" ("loser") portfolios experience subsequent reversal (momentum) of stock prices. Among actively traded stocks, significant contrarian profits can be obtained from only "winner" portfolios in Japan, while sizeable momentum profits from "loser portfolios" in both Japan and Hong Kong.

Suggested Citation

  • McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
    • Handle: RePEc:eee:finana:v:17:y:2008:i:2:p:312-329
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    4. Evgeniya Mikova & Tamara Teplova, 2014. "Seasonal Effect for Explaining Price Momentum Failure in the Japanese Stock Market," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 25-42, October.
    5. Demirer, Rıza & Yuksel, Asli & Yuksel, Aydin, 2017. "Flight to quality and the predictability of reversals: The role of market states and global factors," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1445-1454.
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