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.

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Title Concurrent momentum and contrarian strategies in the Australian stock market
Author(s) Doan, Minh PhuongORCID iD for 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
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
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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