Sources of Momentum Returns
Asset classes. Majority of the past research on price momentum focused on the stocks and found momentum effects (e.g., Haga, 2015; Jegadeesh & Titman, 1993, 2001; Shynkevich, 2012; Jiang, Li, D., & Li, G., 2012; Tekçe & Yılmaz, 2015). Momentum profits were found in …show more content…
The relative strength trading strategy was mostly tested using U.S. data and abnormal returns were reported in the US (Haga, 2015; Jegadeesh & Titman, 1993, 2001; Shynkevich, 2012; Jiang et al., 2012). Recent empirical studies have also found price momentum in equities in various countries around the world, including Australia (Li, Stork, Chai, Ee, & Ang, 2014; Schneider & Gaunt, 2012), Belgium (Annaert & Mensah, 2014), and China (Cheema & Nartea, 2014; Ni, Liao, & Huang, 2015). Momentum effect was noticed in Finland (Leivo, 2012), France (Nakhli & Belkacem, 2013), and India (Ansari & Khan, 2012). Other countries where momentum profits were found include Pakistan (Habib-Ur-Rahman & Mohsin, 2012), Spain (Blasco et al., 2012), Taiwan (Chang, 2013), Tunisia (Zoghlami, 2013), Turkey (Ersoy & Ünlü, 2013), United Kingdoms (Siganos, 2012), and Vietnam (Nguyen,