Momentum in stock returns: evidence from an emerging stock market |
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Authors: | Mostafa Saidur Rahim Khan Naheed Rabbani |
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Institution: | Graduate School of Economics, Nagoya University, Nagoya, Japan |
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Abstract: | This study examines the presence and sources of momentum profits in the Dhaka stock exchange (DSE). Although the short-term reversal and intermediate-term momentum are found to be evident, short-term reversal is not as consistent and significant as intermediate-term momentum. Further examination shows that momentum profits in the DSE cannot be explained by the rational source like market factor but can be explained by the size factor. We argue that presence of large number of small stocks and lack of arbitrage opportunity could be the possible causes of momentum effect in the DSE. |
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Keywords: | Momentum profits short-term reversal rational source Dhaka stock exchange |
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