A study on short momentum phenomenon

DOI

10.2991/insyma-19.2019.19How to use a DOI?

Keywords

abnormal return, short momentum, winner stock, loser stock

Abstract

This study aimed at examining the phenomenon of short-term momentum in the Southeast Asian capital market. The sample capital markets were Singapore, Thailand, and Indonesia, with years of observation over the 2014 to 2016 period. Tests were carried out using the one-sample t-test to test whether there are abnormal returns on the winner and loser stock portfolios. The results of the study show that winner stock portfolios listed in the LQ45 (Indonesia), STI (Singapore), and SET50 (Thailand) indexes have positive and significant abnormal return results. While the testing of loser stock portfolios has a negative and significant average abnormal return.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Werner R. Murhadi
AU  - Dita Yohana Putri Abrianto
PY  - 2019/03
DA  - 2019/03
TI  - A study on short momentum phenomenon
BT  - Proceedings of the 16th International Symposium on Management (INSYMA 2019)
PB  - Atlantis Press
SP  - 75
EP  - 78
SN  - 2352-5398
UR  - https://doi.org/10.2991/insyma-19.2019.19
DO  - 10.2991/insyma-19.2019.19
ID  - R.Murhadi2019/03
ER  -