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Australian Stock Exchange and sub-variants of price momentum strategies
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Journal Article
Australian Stock Exchange and sub-variants of price momentum strategies
2018
Overview
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.
Publisher
ТОВ “Консалтингово-видавнича компанія “Ділові перспективи”,LLC “Consulting Publishing Company “Business Perspectives”,Business Perspectives Ltd
Subject
