Industry- and liquidity-based momentum in Australian equities

Financial Innovation

Fan Fah Cheng¹  Yeng May Tan² 

[1] Department of Accounting and Finance, Faculty of Economics and Management, Universiti Putra Malaysia;School of Economics and Management, Xiamen University Malaysia;

关键词: Momentum strategy;    Stock momentum;    Industry momentum;    Liquidity;    Market states;    Australia;   

DOI  :  10.1186/s40854-019-0155-z

来源: DOAJ

【 摘 要 】

Abstract This study examined momentum profitability in Australia, providing further evidence for intermediate-term momentum profitability. Using data spanning different market states, we found that momentum was stronger after the global financial crisis. We also examined industry-level momentum strategies and found strong evidence for industry momentum. Specifically, industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform poorly. This finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry level. Regarding liquidity, we found that it has no clear predictive power for momentum returns. Hence, our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.

【 授权许可】

Unknown