Momentum Anomaly in Emerging Stock Markets: Some Empirical Evidence from the Colombo Stock Exchange
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Pathirawasam, Chandrapala, Weerakoon Banda, Yatiwella Koralalage and Wickremasinghe, Guneratne B (2011) Momentum Anomaly in Emerging Stock Markets: Some Empirical Evidence from the Colombo Stock Exchange. Economics, Management, and Financial Markets, 6 (4). pp. 92-104. ISSN 1842-3191
Abstract
This paper provides empirical evidence for the existence of a momentum anomaly on the Colombo Stock Exchange (CSE) during the period January 1992 to December 2007. The results indicate that the momentum effect on the CSE is positive and significant on average for all the four strategies applied. The sub-sample analysis further confirms the findings of the total sample. Further, the risk-adjusted returns show that winners outperform the losers by a significant margin
| Item type | Article |
| URI | https://vuir.vu.edu.au/id/eprint/9344 |
| Subjects | Historical > Faculty/School/Research Centre/Department > School of Economics and Finance Historical > FOR Classification > 1502 Banking, Finance and Investment Historical > SEO Classification > 9001 Financial Services |
| Keywords | ResPubID24162, momentum anomaly, Colombo Stock Exchange, momentum strategies, Contrarian Strategies, Stock Return |
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