Size, Seasonality, Market States and Contrarian Profits
Saiz, Seasonaliti, Keadaan Pasaran dan Keuntungan Kontrarian

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 Bangi, Selangor, MALAYSIA.

srkew@ukm.edu.my

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 Bangi, Selangor, MALAYSIA.

jrtee@ukm.edu.my

Abstract

The study investigates the profitability of contrarian and momentum strategies for short, intermediate and long investment horizons in the Malaysian stock market from 1990-2016. Unlike developed markets, the findings reveal that momentum strategies do not generate profits in Malaysia. Rather, contrarian strategies realise significant returns over short, intermediate and long investment horizons. Contrarian profits are most pronounced among medium- and smallcapitalisation stocks. Moreover, the previously documented February/Chinese New Year effect is evident in contrarian profits. Further, market states are important determinants of contrarian profits. Specifically, contrarian returns are greater following market downturns than market upturns. The findings provide important implications for investors who are considering momentum and contrarian strategies as potential investments.

Keywords

Contrarian strategies; firm size; market states; momentum strategies; monthly seasonality
https://doi.org/10.17576/pengurusan-2018-52-12

Citation

Kew, S. R., & Tee, L. T. (2018). Size, Seasonality, Market States and Contrarian Profits. Jurnal Pengurusan, 52, 145–152. https://doi.org/10.17576/pengurusan-2018-52-12

@article{kew2018size,
  title={Size, Seasonality, Market States and Contrarian Profits},
  author={Kew, Si-Roei and Tee, Lain-Tze},
  journal={Jurnal Pengurusan},
 

volume={52},
  number={},
  pages={145—152},
  year={2018},
  doi={https://doi.org/10.17576/pengurusan-2018-52-12},
  publisher={Penerbit UKM},
}

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52 (2018) 145 – 152

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