[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812791696_0008.html
   My bibliography  Save this book chapter

Determinants of Winner–Loser Effects in National Stock Markets

In: Advances In Quantitative Analysis Of Finance And Accounting

Author

Listed:
  • Ming-Shiun Pan

    (Shippensburg University, USA)

Abstract
In this study, the determinants of profits to momentum/contrarian strategies were examined when applied to national stock market indexes. Using monthly stock market index data of 16 countries from December 1969 to December 2000, it is found that momentum strategies are profitable over horizons from 3 to 12 months, while contrarian strategies are profitable for long horizons such as 2 years or longer. However, the profit is statistically significant for only the 6-month horizon. The present decomposition analysis indicates that international momentum/contrarian profits are mainly due to the autocorrelations in these national market index returns, not to cross-serial correlations or to cross-sectional variation in their mean returns. Consistent with the trading strategy results, it is also found that most of the stock market indexes follow a mean-reverting process, implying positive autocorrelations in short-horizon returns and negative autocorrelations in long lags.

Suggested Citation

  • Ming-Shiun Pan, 2008. "Determinants of Winner–Loser Effects in National Stock Markets," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 8, pages 143-158, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812791696_0008
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812791696_0008
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812791696_0008
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Hedging Strategies; Expense Mismatching; Stock Split; Trading Volume; Portfolio Optimization; Intraday Patterns; Earnings Management; International Winner-Loser Effect;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812791696_0008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.