MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKET
This study mainly investigates the investment performance of momentum strategy and contrarian strategy in Vietnam stock market from January 2007 to March 2011 by using the empirical methodology in Jegadeesh and Titman (1993). The empirical results show that during the period January, 2007 to March,...
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| Format: | Article |
| Language: | English |
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Dalat University
2012-11-01
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| Series: | Tạp chí Khoa học Đại học Đà Lạt |
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| Online Access: | https://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/221 |
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| author | Nguyễn Thị Phương Thảo Nguyễn Văn Anh |
| author_facet | Nguyễn Thị Phương Thảo Nguyễn Văn Anh |
| author_sort | Nguyễn Thị Phương Thảo |
| collection | DOAJ |
| description | This study mainly investigates the investment performance of momentum strategy and contrarian strategy in Vietnam stock market from January 2007 to March 2011 by using the empirical methodology in Jegadeesh and Titman (1993). The empirical results show that during the period January, 2007 to March, 2011 momentum strategy works effectively over the horizon of 1, 5, 10, 20, 60 and 90 days,meanwhile, no contrarian strategy can make significant profit during the same horizon, which is quite different from other developed stock markets. Moreover, the results suggest that in Vietnam stock market it is better to limit the holding period in short term because momentum profit will decrease rapidly when holding period is longer and the best choice is limiting the trading and holding period to 5 days. Additionally, I find that buying high-volume winners and selling high-volume losers is more profitable than buying low-volume winners and selling low-volume losers |
| format | Article |
| id | doaj-art-267c2e79ae184b15ab80f9d7230d3643 |
| institution | Kabale University |
| issn | 0866-787X |
| language | English |
| publishDate | 2012-11-01 |
| publisher | Dalat University |
| record_format | Article |
| series | Tạp chí Khoa học Đại học Đà Lạt |
| spelling | doaj-art-267c2e79ae184b15ab80f9d7230d36432025-02-02T18:08:18ZengDalat UniversityTạp chí Khoa học Đại học Đà Lạt0866-787X2012-11-0110.37569/DalatUniversity.0.0.221(2012)MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKETNguyễn Thị Phương Thảo0Nguyễn Văn Anh1Faculty of Economics and Business Administration, Dalat UniversityFaculty of Economics and Business Administration, Dalat UniversityThis study mainly investigates the investment performance of momentum strategy and contrarian strategy in Vietnam stock market from January 2007 to March 2011 by using the empirical methodology in Jegadeesh and Titman (1993). The empirical results show that during the period January, 2007 to March, 2011 momentum strategy works effectively over the horizon of 1, 5, 10, 20, 60 and 90 days,meanwhile, no contrarian strategy can make significant profit during the same horizon, which is quite different from other developed stock markets. Moreover, the results suggest that in Vietnam stock market it is better to limit the holding period in short term because momentum profit will decrease rapidly when holding period is longer and the best choice is limiting the trading and holding period to 5 days. Additionally, I find that buying high-volume winners and selling high-volume losers is more profitable than buying low-volume winners and selling low-volume losershttps://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/221Momentum strategyContrarian strategyThe Vietnamese stock market |
| spellingShingle | Nguyễn Thị Phương Thảo Nguyễn Văn Anh MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKET Tạp chí Khoa học Đại học Đà Lạt Momentum strategy Contrarian strategy The Vietnamese stock market |
| title | MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKET |
| title_full | MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKET |
| title_fullStr | MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKET |
| title_full_unstemmed | MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKET |
| title_short | MOMENTUM AND CONTRARIAN STRATEGIES EVIDENCE IN VIETNAM STOCK MARKET |
| title_sort | momentum and contrarian strategies evidence in vietnam stock market |
| topic | Momentum strategy Contrarian strategy The Vietnamese stock market |
| url | https://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/221 |
| work_keys_str_mv | AT nguyenthiphuongthao momentumandcontrarianstrategiesevidenceinvietnamstockmarket AT nguyenvananh momentumandcontrarianstrategiesevidenceinvietnamstockmarket |