Share

Long Term Price Momentum, Early, and Late Strategies in Indian Market Stock Return

2016
Download Long Term Price Momentum, Early, and Late Strategies in Indian Market Stock Return PDF Online Free

Author :
Release : 2016
Genre :
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis Long Term Price Momentum, Early, and Late Strategies in Indian Market Stock Return by : Martin Bernard

Download or read book Long Term Price Momentum, Early, and Late Strategies in Indian Market Stock Return written by Martin Bernard. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: In recent days price momentum has gained considerable attention among the financial market researchers, as it deals with simple trading strategies offering abnormal returns based on historical market informations. However there is scarcity of works in this line of research in emerging markets. This paper investigates the long horizon relationship between historical trading volume and momentum return in Indian stock market, which is one of the most promising emerging markets. We also investigate the profitability of early-stage and late-stage strategies in Indian context. Our sample contains the blue-chip stocks represented in BSE-100 index over a period of eight years starting from August 2004 to July 2012. The study created double-sorted portfolios for measuring the volume based price momentum returns by applying Lee and Swaminathan (2000) methodology, which necessitated measuring the differences in the momentum return of low and high trading volume stocks. Our results suggest that there is no role for historical trading volume in boosting the magnitude of momentum profits over long horizon portfolios. Our findings also shows that neither long-term price momentum nor long-term price reversal strategy are pronounced in early-stage and late-stage respectively.

Momentum Trading on the Indian Stock Market

2013-03-27 Business & Economics
Download Momentum Trading on the Indian Stock Market PDF Online Free

Author :
Release : 2013-03-27
Genre : Business & Economics
Kind : eBook
Book Rating : 278/5 ( reviews)

GET EBOOK


Book Synopsis Momentum Trading on the Indian Stock Market by : Gagari Chakrabarti

Download or read book Momentum Trading on the Indian Stock Market written by Gagari Chakrabarti. This book was released on 2013-03-27. Available in PDF, EPUB and Kindle. Book excerpt: This study is an exploration of the Indian stock market, focusing on the possible presence of momentum trading. One thing, however, should be noted. While it is true that momentum trading, which tends to generate speculative bubbles, may result in a financial market crash, its nature in contrast might depend on the nature of the economy itself. The study, while exploring the presence and nature of momentum trading on the Indian stock market in recent years, seeks to relate it to significant structural breaks in the Indian or global economy. To be precise, it outlines a potential correlation between the instability in the stock market and the speculative trading on the market, exploring the question of whether it is human psychology that drives financial markets. In the process, the choice of a significant structural break has been obvious: the global financial meltdown of 2007-2008 – a crisis that has often been referred to as the worst ever since the crash of 1929. While analyzing the nature of momentum trading on the Indian stock market with regard to the financial crisis of 2007-08, the study takes into account two major representatives of the market, the BSE (Bombay Stock Index) and NSE (National Stock Index), for the period 2005 to 2012. This study seeks to answer a few important questions. First of all, it tries to unveil the underlying structure of the market. In doing so, it examines the following issues: (i) What was the latent structure of the Indian stock market leading up to the crisis of 2007-08? Does the structure offer insights into designing profitable trading strategies? (ii) Is it possible to construct a profitable portfolio on the Indian stock market? (iii) Is there any profitable trading strategy on the Indian stock market? While exploring these issues, the study delves deeper, breaking the whole period down into two sub-periods, before the crisis of 2008 and after the crisis. The purpose of this division is to determine whether there has been any discernible change in the market structure since the shock.

Momentum and Overreaction Effect a Study of Indian Stock Market

2022-12-03 Business & Economics
Download Momentum and Overreaction Effect a Study of Indian Stock Market PDF Online Free

Author :
Release : 2022-12-03
Genre : Business & Economics
Kind : eBook
Book Rating : 044/5 ( reviews)

GET EBOOK


Book Synopsis Momentum and Overreaction Effect a Study of Indian Stock Market by : Maheshwari Supriya

Download or read book Momentum and Overreaction Effect a Study of Indian Stock Market written by Maheshwari Supriya. This book was released on 2022-12-03. Available in PDF, EPUB and Kindle. Book excerpt: The search and investigation of stock market anomalies have always been a popular area of research among the academicians. The Efficient Market Hypothesis (EMH) that was once very well accepted and adored the most dominant place in the traditional finance theories, somehow, in recent times, the validity of the same has been questioned. The evidence of various stock market anomalies that document excess profit making opportunities resulted in critical re-examination of EMH. Probably the two most famous anomalies that have attracted the interest of both academicians and practitioners are the ones that are based on stocks return continuation (known as momentum effect) and long-term stock returns reversal (known as overreaction effect). Ever since DeBondt and Thaler (1985) and Jegadeesh and Titman (1993) drew attention towards the overreaction and momentum effect, these have remained as some of the most hotly debated anomalies in the academic literature. The investment strategies based on such continuation and long-term return reversal effects are commonly known as momentum and contrarian strategies, respectively. Both momentum and long-term reversal effect were found to persist in a majority of the out-of-sample tests using data from the U.S. as well as other developed stock markets across different time periods. Initially, most of the early investigations were based on the U.S. stock market, but gradually the investigation for the same spread out internationally to other developed stock markets. As a result, there exists a vast majority of literature supporting momentum and contrarian profitability in majority of the developed markets.

Momentum and Contrarian Profitability

2016
Download Momentum and Contrarian Profitability PDF Online Free

Author :
Release : 2016
Genre :
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis Momentum and Contrarian Profitability by : Supriya Maheshwari

Download or read book Momentum and Contrarian Profitability written by Supriya Maheshwari. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: The study explored the effectiveness of momentum and long-term contrarian strategy in the Indian stock market using data from National Stock Exchange (NSE). The study further examined the similarities and difference in momentum and long-term contrarian profitability using multiple return computation method. The results from the study provide support in favor of both momentum and long-term contrarian strategy in the Indian stock market. The strong momentum and contrarian profits in the Indian stock market are not explained by biases and errors in return computation method as argued in International literature. Such results provide support in favor of momentum and long-term contrarian profitability in the Indian stock market. Earlier studies in the Indian context were primarily focused on testing momentum and contrarian profitability. The study enhances the current literature by empirically showing that such mispricing in the Indian stock market is not an outcome of faulty methodology.

A Study of Contrarian and Momentum Profits in Indian Stock Market

2016
Download A Study of Contrarian and Momentum Profits in Indian Stock Market PDF Online Free

Author :
Release : 2016
Genre :
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis A Study of Contrarian and Momentum Profits in Indian Stock Market by : Raj Dhankar

Download or read book A Study of Contrarian and Momentum Profits in Indian Stock Market written by Raj Dhankar. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the Indian stock market within the framework of momentum and contrarian strategies, using the monthly-adjusted prices of all the stocks listed on National Stock exchange (NSE) having complete data for the sample period January 1997 to March 2013. The findings reveal the presence of statistically significant small term momentum and long term overreaction effect in Indian stock market. Further, the paper also evaluates the predictions of various behavioural models that propose that momentum profits eventually reversed in long term. The evidence of the paper provides support for the behavioural explanation of momentum and overreaction effect in Indian stock market.

You may also like...