Momentum Effect in Developed and Emerging Stock Markets

  • zulfiqar Ali Imran University of Utara Malaysia
  • Woei-Chyuan Wong University of Utara Malaysia, Malaysia
  • Rusmawati Ismail University of Utara Malaysia, Malaysia
Keywords: Momentum Returns, EMH, Momentum investment strategies, Existence of momentum effect, Efficient market hypothesis, Momentum effect


The study aims to reaffirms the existence of short-term momentum effect in 13 developed and emerging stock markets where previous literature has lack of consensus. Although many studies emphasis on the existence of momentum effect, but still, there are substantial number of researchers that deny the its presence. The contradictory finding of many researchers over the existence of momentum effect, raises a serious question, to what extend our stock markets are informationally efficient and whether investor can make abnormal profits by using momentum investment strategies. This study applies momentum investment strategy, J6K6, to calculate momentum returns. Our study finds negative significant momentum effect in all 13 stock markets. Although momentum effect is present in 13 countries but Investors are not able to attain abnormal profit through momentum investing. These findings have an utmost importance for practitioners that they should not adopt momentum investment strategies in these countries as these strategies are generating lose. Moreover, stock market regulators should formulate these markets on the notion of efficient market hypothesis.


Download data is not yet available.
How to Cite
Imran, zulfiqar, Wong, W.-C., & Ismail, R. (2020). Momentum Effect in Developed and Emerging Stock Markets. Journal of Finance and Accounting Research, 2(2), 1-1.