You are not logged in.

Concurrent momentum and contrarian strategies in the Australian stock market

Doan, Minh Phuong, Alexeev, Vitali and Brooks, Robert 2016, Concurrent momentum and contrarian strategies in the Australian stock market, Australian journal of management, vol. 41, no. 1, pp. 77-106, doi: 10.1177/0312896214534864.

Attached Files
Name Description MIMEType Size Downloads

Title Concurrent momentum and contrarian strategies in the Australian stock market
Author(s) Doan, Minh Phuong
Alexeev, Vitali
Brooks, Robert
Journal name Australian journal of management
Volume number 41
Issue number 1
Start page 77
End page 106
Total pages 30
Publisher Sage
Place of publication London, Eng.
Publication date 2016-02
ISSN 0312-8962
1327-2020
Keyword(s) Model-based bootstrap
momentum and contrarian strategies
technical analysis
Summary We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the Australian mining sector undermines the performance of momentum while enhancing performance of contrarian strategies. Lastly, using both parametric and non-parametric approaches, we show that these strategies’ returns are persistent anomalies and not completely explained by standard return-generating models.
Language eng
DOI 10.1177/0312896214534864
Field of Research 150205 Investment and Risk Management
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2014, SAGE Publications
Persistent URL http://hdl.handle.net/10536/DRO/DU:30072710

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 0 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 40 Abstract Views, 2 File Downloads  -  Detailed Statistics
Created: Mon, 11 May 2015, 09:37:12 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.