This study aimed at examining the phenomenon of short-term momentum in the Southeast Asian capital market. The sample capital markets were Singapore, Thailand, and Indonesia, with years of observation over the 2014 to 2016 period. Tests were carried out using the one-sample t-test to test whether there are abnormal returns on the winner and loser stock portfolios. The results of the study show that winner stock portfolios listed in the LQ45 (Indonesia), STI (Singapore), and SET50 (Thailand) indexes have positive and significant abnormal return results. While the testing of loser stock portfolios has a negative and significant average abnormal return.
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