scholarly journals A New Momentum Strategy Based on Chinese Securities Market

2019 ◽  
Vol 14 (12) ◽  
pp. 90
Author(s):  
Jin Zhang ◽  
Yuxiu Zhang ◽  
Yongqi Dong
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Market Price ◽  
Abnormal Returns ◽  
Theory And Practice ◽  
Securities Market ◽  
Momentum Effect ◽  
Short Term ◽  
Market Theory ◽  
Momentum Strategy

Facing the current gaps with regard to the momentum effect in Chinese securities market, a momentum strategy was constructed to compare the securities market price under the effective market theory with under the non-effective market theory by the Hushen 300 index from 2006 to 2015 and a stock price residual measurement model. An important result was that the root cause of the momentum effect was systematic irrational behavior. On this basis, a new momentum strategy was constructed based on RSP (Residual of Stock Price), and the performance of that strategy was tested in different ranking and holding periods. The new momentum strategies were obtained positive average cumulative abnormal returns in the super short-term, short term and medium term. This finding confirmed the significant existence of the momentum effect in China’s stock market and the validity of the RSP momentum strategy. Therefore, this finding can be contributed to effectively addressed the current gaps and examine the applicability of classic asset pricing theory and behavioral finance theory in China's stock market. Finally, after considering the transaction costs, the momentum strategy is effective in both theory and practice.

Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market

2015 ◽  
Vol 23 (4) ◽  
pp. 543-569
Author(s):  
Jun Ho Hwang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Abnormal Returns ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Price Limit ◽  
Holding Period ◽  
Momentum Profits ◽  
Korean Stock Market

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.

scholarly journals Do Higher-Rated or Enhancing ESG of Firms Enhance Their Long–Term Sustainability? Evidence from Market Returns in Korea

2020 ◽  
Vol 12 (7) ◽  
pp. 2664 ◽  
Author(s):  
Yeonwoo Do ◽  
Sunghwan Kim
Keyword(s):  
Stock Market ◽  
Firm Value ◽  
Stock Price ◽  
Abnormal Returns ◽  
Market Returns ◽  
Short Term ◽  
Stock Market Returns ◽  
Listed Firms ◽  
The Third

In this study, we investigate the effects of the level and changes in environmental, social and corporate governance (ESG) rating, an index developed to represent a firm’s long-term sustainability, on the stock market returns of Korea Composite Stock Price Index (KOSPI) listed firms over the period 2011–2018. We find that the changes in ESG ratings have statistically significant short-term effects on their abnormal returns. However, their impacts on short-term abnormal returns decrease some days after the disclosure and become negative in the third year. The results imply that investors in the Korean stock market do not view corporate social responsibility activities as a means of supporting their long-term sustainability, judging from the firm value for a long period after their rating. Rather, based on the effects of the changes on coefficient signs over the period—positive in the year and the year after, no effects in the following year, and negative in the third year and later—we can infer that the short-term oriented market sentiments of investors might worsen their long-term stock performances, thus deteriorating their sustainability and growth opportunities.

scholarly journals Momentum and contrarian effects in the Ukrainian stock market: case of daily overreactions

2020 ◽  
Vol 17 (1) ◽  
pp. 24-34
Author(s):  
Alex Plastun ◽  
Nataliya Strochenko ◽  
Olga Zhmaylova ◽  
Liudmyla Sliusareva ◽  
Sergiy Bashlay
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Cumulative Abnormal Returns ◽  
Average Analysis ◽  
Overreaction Hypothesis ◽  
Price Patterns ◽  
Low Efficiency ◽  
Trading Simulation

This paper examines momentum and contrarian effects in the Ukrainian stock market after one-day abnormal returns. To do this, UX futures data over the period 2010–2018 are used. The following hypotheses are tested: H1) hourly returns on overreaction days differ from hourly returns on normal days, H2) there are price patterns on overreaction days, and H3) to test these hypotheses, visual inspection and average analysis are used, as well as t-tests, cumulative abnormal returns, and trading simulation approaches. The results suggest that there are statistically significant differences between intraday dynamics during the usual days and the overreactions day. There is a strong momentum effect present on the day of overreaction: prices tend to change only in the direction of the overreaction during the whole day. The fact of the overreaction becomes clear after 13:00-14:00. This gives a lot of time to explore the momentum effect in the day of overreaction. On the day after the overreaction, prices tend to go in the opposite direction: contrarian pattern is detected, which is in line with the overreaction hypothesis. Based on detected price patterns, rules of trading and trading strategies for the Ukrainian stock market are developed. Momentum Strategy (based on price patterns on the day of overreaction) generates several successful trades; close to with 90%, and their number being is profitable (trading results differ from the random ones – confirmed by t-tests). Contrarian Strategy (based on price patterns on the day after the overreaction) demonstrates low efficiency, and results do not differ from random trading.

scholarly journals Price Shocks, News Disclosures, and Asymmetric Drifts

2014 ◽  
Vol 89 (5) ◽  
pp. 1805-1834 ◽  
Author(s):  
Hai Lu ◽  
Kevin Q. Wang ◽  
Xiaolu Wang
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Abnormal Returns ◽  
Corporate Disclosure ◽  
Price Shocks ◽  
Short Term ◽  
Momentum Strategy ◽  
Economic Significance ◽  
Return Reversal ◽  
Investor Disagreement

ABSTRACT Motivated by investor disagreement and corporate disclosure literatures, we examine how stock price shocks affect future stock returns. We find that both large short-term price drops and hikes are followed by negative abnormal returns over the subsequent year, consistent with the conjecture that price shocks are useful indicators of intertemporal spikes in investor disagreement and investor opinion converges gradually. The asymmetric drifts involve return continuation for negative price shocks versus return reversal for positive price shocks, and are in sharp contrast to the general findings of symmetric drifts in corporate event studies. Moreover, price shocks associated with public news events are followed by significantly weaker downward drifts, suggesting that news disclosures mitigate disagreement-induced overpricing. Examining the dynamics of a disagreement proxy during and after price shocks, we provide further evidence for the disagreement hypothesis. The economic significance of the price shock effect is illustrated with a revised momentum strategy that generates an annualized abnormal return of 16.92 percent.

scholarly journals GOVERNANCE THROUGH STOCK TRADING IN BRAZIL: EVIDENCE WITH INSTITUTIONAL INVESTORS

2020 ◽  
Vol 21 (6) ◽  
Author(s):  
LUCAS N. C. VASCONCELOS ◽  
ORLEANS S. MARTINS
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Stock Prices ◽  
Stock Price ◽  
Market Price ◽  
Abnormal Returns ◽  
Specific Information ◽  
Stock Trading ◽  
Price Efficiency ◽  
Stock Market Efficiency

ABSTRACT Purpose: This paper analyses the viability of stock trading as a mechanism to promote corporate governance, addressing its effects on abnormal returns, information, and firm performance. Originality/value: The study indicates that competition among institutional investors is important to raise stock price efficiency. Policies that allow capital inflow, increase in liquidity, and a link between managers’ salaries and stock performance are beneficial to reinforce the stock market efficiency. Design/methodology/approach: Hypotheses testing using panel data regressions of 233 stocks between December 2009 to December 2017 from Thomson Eikon, Economatica and ComDinheiro. Findings: The results indicate that the number of institutional investors is not related to abnormal returns. On the other hand, the number of institutional investors increases the amount of firm-specific information into stock prices, rising stock market price efficiency. This relationship is stronger among the preferred stocks (PN), but this mechanism is still not valid to increase firms’ operational performance. Despite the possible increase in stock price efficiency, the investors cannot adopt such a mechanism to exercise governance if there is no remuneration linked to performance.

scholarly journals The Impact of COVID-19 on the Stock Price of Socially Responsible Enterprises: An Empirical Study in Taiwan Stock Market

2021 ◽  
Vol 18 (4) ◽  
pp. 1398
Author(s):  
Kuo-Jung Lee ◽  
Su-Lien Lu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Recovery Phase ◽  
Socially Responsible ◽  
Cumulative Impact ◽  
Study Approach ◽  
Price Performance ◽  
The Impact

This study examines the impact of the COVID-19 outbreak on the Taiwan stock market and investigates whether companies with a commitment to corporate social responsibility (CSR) were less affected. This study uses a selection of companies provided by CommonWealth magazine to classify the listed companies in Taiwan as CSR and non-CSR companies. The event study approach is applied to examine the change in the stock prices of CSR companies after the first COVID-19 outbreak in Taiwan. The empirical results indicate that the stock prices of all companies generated significantly negative abnormal returns and negative cumulative abnormal returns after the outbreak. Compared with all companies and with non-CSR companies, CSR companies were less affected by the outbreak; their stock prices were relatively resistant to the fall and they recovered faster. In addition, the cumulative impact of the COVID-19 on the stock prices of CSR companies is smaller than that of non-CSR companies on both short- and long-term bases. However, the stock price performance of non-CSR companies was not weaker than that of CSR companies during times when the impact of the pandemic was lower or during the price recovery phase.

scholarly journals The Effect of Macroeconomic Variables On the Saudi Stock Market

2019 ◽  
Vol 7 (12) ◽  
pp. 126-152
Author(s):  
Amani Mohammed Aldukhail
Keyword(s):  
Stock Market ◽  
Performance Indicators ◽  
Stock Price ◽  
Price Index ◽  
Inflation Rate ◽  
Market Value ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Time Deposits

This study aimed at exploring the effect of macroeconomic variables on the activity of the Saudi stock market for the period 1997-2017. Macroeconomic variables were: GDP, interest rate on time deposits, inflation rate. The variables of the Saudi stock market activity were: stock price index, market value of shares, value of traded shares. To achieve this objective, the researcher used the ARDL model for the self-regression of the lagged distributed time gaps. The most important results of the research are: The effect of macroeconomic variables on the performance indicators in the Saudi stock market is not important in the short term and is statistically significant in the long term according to the proposed models, so investors in this market can rely on macroeconomic variables in Predict the movement of the stock market and predict long-term profits and losses.

scholarly journals Contrarian and Momentum Strategies in the Indian Capital Market

2002 ◽  
Vol 27 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Sanjay Sehgal ◽  
I Balakrishnan
Keyword(s):  
Stock Returns ◽  
Indian Market ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Holding Period ◽  
The Us ◽  
One Year

The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in conformity with those for developed capital markets such as the US.

scholarly journals Does switching trading venues create value? Evidence from Hong Kong

2020 ◽  
Vol 27 (2) ◽  
pp. 209-222 ◽  
Author(s):  
Johnny K.H. Kwok
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Abnormal Returns ◽  
Excess Returns ◽  
Trading Activity ◽  
Content Type ◽  
Growth Enterprise Market ◽  
Two Measures ◽  
Hong Kong Stock Market

PurposeThe purpose of this paper is to study whether switching trading venues create value in the Hong Kong stock market.Design/methodology/approachBy using an event study, the paper investigates the abnormal returns (AR) earned by firms in the Growth Enterprise Market (GEM) relating to switching to the Main Board (MB). Two measures, turnover of the stock and Amihud’s (2002) illiquidity ratio, are used to examine the liquidity effects.FindingsThe switch is accompanied by a long-term increase in stock price for low liquidity firms only. High liquidity firms underperform with persistent negative excess returns after switching, while the transient negative excess returns in low liquidity firms reverse gradually. The results further show a significant increase in trading activity for low liquidity firms following the switch, while there is a significant decline in both trading activity and liquidity in firms with high liquidity. The overall results suggest that moving from GEM to the MB is beneficial to low liquidity firms but detrimental to high liquidity firms.Originality/valueThis study is the first to investigate whether moving from GEM to the MB creates value in the Hong Kong stock market.

Stock market reaction to cash dividends: evidence from the Nigerian stock market

2019 ◽  
Vol 45 (3) ◽  
pp. 366-380
Author(s):  
Friday Kennedy Ozo ◽  
Thankom Gopinath Arun
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Returns ◽  
Cash Dividend ◽  
Content Type ◽  
Price Reaction ◽  
Stock Market Reaction ◽  
Dividend Announcements ◽  
Stock Price Reaction

PurposeVery little is known about the effect of dividend announcements on stock prices in Nigeria, despite the country’s unique institutional environment. The purpose of this paper is, therefore, to provide empirical evidence on this issue by investigating the stock price reaction to cash dividends by companies listed on the Nigerian Stock Exchange.Design/methodology/approachStandard event study methodology, using the market model, is employed to determine the abnormal returns surrounding the cash dividend announcement date. Abnormal returns are also calculated employing the market-adjusted return model as a robustness check and to test the sensitivity of the results toβestimation. The authors also examine the interaction between cash dividends and earnings by estimating a regression model where announcement abnormal returns are a function of both dividend changes and earnings changes relative to stock price.FindingsThe study find support for the signaling hypothesis: dividend increases are associated with positive stock price reaction, while dividend decreases are associated with negative stock price reaction. Companies that do not change their dividends experience insignificant positive abnormal returns. The results also suggest that both dividends and earnings are informative, but dividends contain information beyond that contained in earnings.Research limitations/implicationsThe sample for the study includes only cash dividend announcements occurring without other corporate events (such as interim dividends, stock splits, stock dividends, and mergers and acquisitions) during the event study period. The small firm-year observations may limit the validity of generalizations from these conclusions.Practical implicationsThe findings are useful to researchers, practitioners and investors interested in companies listed on the Nigerian stock market for their proper strategic decision making. In particular, the results can be used to encourage transparency and good governance practices in the Nigerian stock market.Originality/valueThis paper adds to the very limited research on the stock market reaction to cash dividend announcements in Nigeria; it is the first of its kind employing a unique cash dividends data.

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