Analyzing Short Term Momentum Effect on Stock Market of Hong Kong. An Empirical Case Study

Abstract

Existence of short-term momentum effect is a widely disputed topic. This paper aims to solve the dispute and examine the presence of short-term momentum effect in the stock market of Hong Kong. Empirical results of 16 monthly price momentum investment strategies suggest that short term momentum effect has been found in Hong Kong’s stock market and it is overwhelmingly strong. Future research should focus on investigating momentum effect using weekly and daily price momentum strategies.

Keywords

• momentum strategy
• zero cost momentum portfolio
• above average return
• winner portfolios
• loser portfolios