TITLE:
An Investigation on Existence of Momentum in the Stock Exchange of Thailand
AUTHORS:
Mussa Hussaini, Mohammad Asef Shafaee, Aweng Peter Majok Garang
KEYWORDS:
Momentum Strategy, Past Loser, Past Winner, Stock Exchange of Thailand
JOURNAL NAME:
Modern Economy,
Vol.7 No.3,
March
25,
2016
ABSTRACT: In the Stock Exchange
of Thailand, we examine whether buying stocks that have performed well in the
past and selling those stocks that have performed poorly in the past will
generate statistically significant positive return in the future. The
performance of this strategy has been well studied in different countries by
scholars. These studies suggest that past winners tend to outperform past losers
in the future. However, academic research in this direction has been limited in
countries such as Thailand, and to the best of our knowledge, there has been no
such study in Thailand after the financial crisis of 1997. In order to examine
the profitability of momentum strategy in Thailand market, six portfolios are
constructed according to size and past performances of stocks. Returns on
portfolios are calculated on monthly basis over the period from 2010 to 2014.
We find that momentum strategy realizes significantly positive return in large
size stocks category but not in small size stocks during this period.
Furthermore, the equal weighted average of momentum profit of both small and
large size categories do not provide any indication of overall momentum profit.