Size, seasonality, market states and contrarian profits

Kew, Si-Roei and Tee, Lain-Tze (2018) Size, seasonality, market states and contrarian profits. Jurnal Pengurusan, 52 . pp. 145-152. ISSN 0127-2713


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The study investigates the profitability of contrarian and momentum strategies for short, intermediate and long investment horizons in the Malaysian stock market from 1990-2016. Unlike developed markets, the findings reveal that momentum strategies do not generate profits in Malaysia. Rather, contrarian strategies realise significant returns over short, intermediate and long investment horizons. Contrarian profits are most pronounced among medium- and small-capitalisation stocks. Moreover, the previously documented February/Chinese New Year effect is evident in contrarian profits. Further, market states are important determinants of contrarian profits. Specifically, contrarian returns are greater following market downturns than market upturns. The findings provide important implications for investors who are considering momentum and contrarian strategies as potential investments.

Item Type:Article
Keywords:Contrarian strategies; Momentum strategies; Firm size; Monthly seasonality; Market states
Journal:Jurnal Pengurusan
ID Code:20175
Deposited By: ms aida -
Deposited On:17 Oct 2022 01:00
Last Modified:21 Oct 2022 03:27

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