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

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Zhu, Qianlan (2011) Empirical Studies of Momentum Strategies in Hong Kong and Japan Stock Markets. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

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.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 25 Apr 2012 14:56
Last Modified: 07 Mar 2018 11:40
URI: https://eprints.nottingham.ac.uk/id/eprint/25234

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