• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Journal articles
    • View Item
    • Home
    • Griffith Research Online
    • Journal articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • Do momentum strategies work? Australian evidence

    Thumbnail
    View/Open
    62779_1.pdf (167.4Kb)
    Author(s)
    Drew, ME
    Veeraraghavan, M
    Ye, M
    Griffith University Author(s)
    Drew, Michael E.
    Veeraraghavan, Madhu
    Year published
    2007
    Metadata
    Show full item record
    Abstract
    Purpose - The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Design/methodology/approach - Following the Lee and Swaminathan's approach, portfolios on past returns and past trading volume is constructed. In this approach, all stocks are ranked independently on the basis of past returns and past trading volume. The stocks are then assigned to one of five portfolios based on past returns and one of three portfolios based on trading volume over the same period. Findings - A strong ...
    View more >
    Purpose - The purpose of this paper is to investigate the profitability of momentum investment strategy and the predictive power of trading volume for equities listed in the Australian Stock Exchange. Design/methodology/approach - Following the Lee and Swaminathan's approach, portfolios on past returns and past trading volume is constructed. In this approach, all stocks are ranked independently on the basis of past returns and past trading volume. The stocks are then assigned to one of five portfolios based on past returns and one of three portfolios based on trading volume over the same period. Findings - A strong momentum effect for the Australian market during the period 1988 through 2002 is observed. Further, momentum plays an important role in providing information about stocks. Past trading volume appears to predict both the magnitude and persistence of price momentum. Research limitations/implications - Substantial momentum observed in monthly stock returns has investment implications. Abnormal returns vary from 0.3 to 7 per cent per month in the intermediate horizon. Originality/value - This study provides an out of sample evidence by examining the relationship between "trading volume" (measured by the turnover ratio) and "momentum" strategies in an Australian setting.
    View less >
    Journal Title
    Managerial Finance
    Volume
    33
    Issue
    10
    DOI
    https://doi.org/10.1108/03074350710779223
    Copyright Statement
    © 2007 Emerald. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Banking, Finance and Investment not elsewhere classified
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/33066
    Collection
    • Journal articles

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander