Individualism and Momentum around the World

Chui, Andy C.W.; Titman, Sheridan; Wei, K. C. John

doi:10.2139/ssrn.685767

Cited by 161 publications

(96 citation statements)

References 58 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Fernandes and Ornelas (2008) also implemented j6k6 momentum strategy while inspecting emerging markets for short term momen tum effect. Chui et al (2010) implemented j6k6 price mo mentum strategy while examining 55 stocks markets from across the globe. Similarly Hong et al (2003) and Griffin et al (2005) constructed momentum portfolios using j6k6 price momentum strategy to examine the stock markets of 12 countries and 40 countries respectively.…”

Section: Construction Of J6k6 Price Momentum Strategymentioning

confidence: 99%

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Ejaz

Polák

2015

Business: Theory and Practice

View full text Add to dashboard Cite

Abstract. The objective of this paper is to find short term momentum effect in stock markets of the Middle East and to examine whether short term momentum profits can be explained by risk based CAPM model. Seven major stock markets from the Middle East were selected. Short term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon. Future research should include more stock markets in order to have a better understanding of Middle Eastern stock markets.

show abstract

Section: Construction Of J6k6 Price Momentum Strategymentioning

confidence: 99%

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Ejaz

Polák

2015

Business: Theory and Practice

View full text Add to dashboard Cite

show abstract

“…So, according to the author, collectivism quantifies the degree to which individuals, in different countries, are prone to act in groups and not as individuals. Chui, Titman and Wei (2010) suggested that differences in collectivist behaviours may be the drivers of investors' tendency to herding.…”

Section: Behavioural Effectsmentioning

confidence: 99%

“…According to Chui, Titman and Wei (2010) a collectivist culture is a driver of investors' tendency to herding, which in the capital market can lead to the possibility of noise traders' errors being correlated. In the context of the literature on the effects of sentiment contagion, Chang, Faff e Hwang (2009) state that if investors herd, then there will be stronger sentiment contagion.…”

Section: Introductionmentioning

confidence: 99%

Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market

Fernandes

Goncalves

Vieira

2013

Journal of Behavioral Finance

View full text Add to dashboard Cite

An important issue in finance is whether noise traders, those who act on information that has no value, influence prices. Recent research indicates that investor sentiment affects the return distribution of a few categories of assets in some stock markets. Other studies also document that US investor sentiment is contagious. This paper investigates whether Consumer Confidence (CC) and the Economic Sentiment Indicator (ESI) -as proxies for investor sentiment -affects Portuguese stock market returns, at aggregate and industry levels, for the period between 1997 to 2009. Moreover the impact of US investor sentiment on Portuguese stock market returns is also addressed. We find several interesting results. First, our results provide evidence that consumer confidence index and ESI are driven by both, rational and irrational factors. Second, ESI is significantly negative related to stock returns. Sentiment negatively forecasts aggregate stock market returns, but not all industry indices returns. Finally, we don't find a contagious effect of US investor sentiment in Portuguese market returns.JEL classification: G10, G11.

show abstract

“…Many subsequent studies have confirmed its existence and profitability in the established stock markets of the world (Jegadeesh & Titman, 2001;Grinblatt & Moskowitz, 1999;Lewellen, 2002). However, momentum is weak or almost non-existent in rising stock markets in general and in Asian stock markets in particular (Rouwenhorst, 1997;Griffin et al, 2003;Chui et al, 2010). The authors were of the view that fluctuations in the returns of momentum across markets provide a good opportunity to inspect several momentum theories.…”

Section: Literature Reviewmentioning

confidence: 99%

Australian Stock Exchange and sub-variants of price momentum strategies

Ejaz

Polák

2018

Investment Management and Financial Innovations

View full text Add to dashboard Cite

The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.

show abstract

Individualism and Momentum around the World

Cited by 161 publications

References 58 publications

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Short-Term Momentum Effect: a Case of Middle East Stock Markets

Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market

Australian Stock Exchange and sub-variants of price momentum strategies

Contact Info

Product

Resources

About