Concurrent momentum and contrarian strategies in the Australian stock market

Minh Phuong Doan, Vitali Alexeev, Robert Darren Brooks

Research output: Contribution to journalArticleResearchpeer-review

7 Citations (Scopus)

Abstract

We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate and long-term horizons. However, only short-term contrarian strategies significantly outperform the simple buy-and-hold strategy of investing in the market index over the same period. Further examination of these strategies shows that the Australian mining sector undermines the performance of momentum while enhancing performance of contrarian strategies. Lastly, using both parametric and non-parametric approaches, we show that these strategies returns are persistent anomalies and not completely explained by standard return-generating models.
Original languageEnglish
Pages (from-to)77 - 106
Number of pages30
JournalAustralian Journal of Management
Volume41
Issue number1
DOIs
Publication statusPublished - 2016

Keywords

  • model-based bootstrap
  • momentum and contrarian strategies
  • technical analysis

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