Momentum And Investor Sentiment: Evidence From Asian Stock Markets
Momentum is a well-known stock market anomaly that has yet to be fully explained. Though momentum has been widely examined in the US and other markets, literature on Asian stock markets is sparse. Moreover, effect of sentiment on momentum has not been investigated in non US markets. This study...
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my-usm-ep.439392019-04-12T05:26:12Z Momentum And Investor Sentiment: Evidence From Asian Stock Markets 2013-06 Anusakumar, Shangkari V. HF5001-6182 Business Momentum is a well-known stock market anomaly that has yet to be fully explained. Though momentum has been widely examined in the US and other markets, literature on Asian stock markets is sparse. Moreover, effect of sentiment on momentum has not been investigated in non US markets. This study hopes to fill the identified gaps. Notably, this study is the first to propose and investigate the influence of global and holding period sentiments on momentum. This thesis firstly explores the presence of momentum in 13 Asian countries (Bangladesh, China, Hong Kong, India, Indonesia, Japan, Malaysia, Pakistan, Philippines, Singapore, South Korea, Taiwan and Thailand) using data from January 2000 to December 2011. Secondly, effect of firm size and trading volume on momentum are tested. Finally, the pivotal part of the thesis is the analysis of the effect of sentiment on momentum. Specifically, the effects of local, global and holding period sentiments are investigated. On average, momentum is found to be present in Asia. On an individual country basis, momentum portfolio returns are predominantly positive and statistically significant for approximately one third of the countries. Segregation of the sample by size, volume and sentiment further showed increases in momentum. Taking into consideration sentiment and firm size yields the most promising results wherein all but one country had momentum. The findings reveal that sentiment plays a crucial role in the manifestation of momentum. 2013-06 Thesis http://eprints.usm.my/43939/ http://eprints.usm.my/43939/1/Shangkari%20V.%20Anusakumar24.pdf application/pdf en public phd doctoral Universiti Sains Malaysia Pusat Pengajian Siswazah Perniagaan |
| institution |
Universiti Sains Malaysia |
| collection |
USM Institutional Repository |
| language |
English |
| topic |
HF5001-6182 Business |
| spellingShingle |
HF5001-6182 Business Anusakumar, Shangkari V. Momentum And Investor Sentiment: Evidence From Asian Stock Markets |
| description |
Momentum is a well-known stock market anomaly that has yet to be fully
explained. Though momentum has been widely examined in the US and other
markets, literature on Asian stock markets is sparse. Moreover, effect of sentiment
on momentum has not been investigated in non US markets. This study hopes to fill
the identified gaps. Notably, this study is the first to propose and investigate the
influence of global and holding period sentiments on momentum. This thesis firstly
explores the presence of momentum in 13 Asian countries (Bangladesh, China,
Hong Kong, India, Indonesia, Japan, Malaysia, Pakistan, Philippines, Singapore,
South Korea, Taiwan and Thailand) using data from January 2000 to December
2011. Secondly, effect of firm size and trading volume on momentum are tested.
Finally, the pivotal part of the thesis is the analysis of the effect of sentiment on
momentum. Specifically, the effects of local, global and holding period sentiments
are investigated. On average, momentum is found to be present in Asia. On an
individual country basis, momentum portfolio returns are predominantly positive
and statistically significant for approximately one third of the countries. Segregation
of the sample by size, volume and sentiment further showed increases in momentum.
Taking into consideration sentiment and firm size yields the most promising results
wherein all but one country had momentum. The findings reveal that sentiment plays
a crucial role in the manifestation of momentum. |
| format |
Thesis |
| qualification_name |
Doctor of Philosophy (PhD.) |
| qualification_level |
Doctorate |
| author |
Anusakumar, Shangkari V. |
| author_facet |
Anusakumar, Shangkari V. |
| author_sort |
Anusakumar, Shangkari V. |
| title |
Momentum And Investor Sentiment:
Evidence From Asian Stock Markets |
| title_short |
Momentum And Investor Sentiment:
Evidence From Asian Stock Markets |
| title_full |
Momentum And Investor Sentiment:
Evidence From Asian Stock Markets |
| title_fullStr |
Momentum And Investor Sentiment:
Evidence From Asian Stock Markets |
| title_full_unstemmed |
Momentum And Investor Sentiment:
Evidence From Asian Stock Markets |
| title_sort |
momentum and investor sentiment:
evidence from asian stock markets |
| granting_institution |
Universiti Sains Malaysia |
| granting_department |
Pusat Pengajian Siswazah Perniagaan |
| publishDate |
2013 |
| url |
http://eprints.usm.my/43939/1/Shangkari%20V.%20Anusakumar24.pdf |
| _version_ |
1747821307202895872 |