Momentum in Australia

Bruce J Vanstone, Tobias Hahn

Research output: Contribution to journalArticleResearchpeer-review

Abstract

This study provides a description of momentum in Australia, seeking to provide a benchmark for academics and practitioners in the search to improve the performance of momentum strategies. Our findings reveal that there is a strong momentum effect within members of the S&P/ASX200 that was temporarily affected by the GFC. We also provide the first estimation of the current dollar value of momentum in Australia available to funds management.
Stock price momentum is a well-documented anomaly in many of the world’s equity markets, and refers to the excess returns due to buying(selling) past winner(loser) stocks. This paper summarizes the results found in Vanstone & Hahn (2017), and presents them in a practical light. The strength of the momentum effect in Australia remains unclear and prior results are often somewhat contradictory, although in reality, part of this confusion may be the result of differences in cross-sectional stock selection (Brailsford and O’Brien 2008) and differing analysis approaches used in prior works. Our study examines the performance of momentum strategies in Australia using S&P/ASX200 stocks obtained from the Securities Industry Research Centre of Asia Pacific (SIRCA) for the time period 2000 – 2013. The S&P/ASX200 is a suitable basis for this research because it covers approximately 80% of the Australian equity market capitalization (S&P Dow Jones Indices 2014) and constituents are regularly reviewed to ensure suitable market capitalization and liquidity. The objective of this study is to provide a benchmark for practitioners and fund managers in the ongoing search to understand and improve the performance of momentum strategies
Original languageEnglish
Pages (from-to)17-22
Number of pages6
JournalThe Australasian Journal of Applied Finance
Volume2019
Issue number3
Publication statusPublished - 2019

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Momentum strategies
Momentum
Momentum effect
Price momentum
Equity
Stock selection
Market capitalization
Equity markets
Benchmark
Anomaly
Stock prices
Fund managers
Fund management
Excess returns
Asia-Pacific

Cite this

Vanstone, Bruce J ; Hahn, Tobias. / Momentum in Australia. In: The Australasian Journal of Applied Finance. 2019 ; Vol. 2019, No. 3. pp. 17-22.
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Vanstone, BJ & Hahn, T 2019, 'Momentum in Australia', The Australasian Journal of Applied Finance, vol. 2019, no. 3, pp. 17-22.

Momentum in Australia. / Vanstone, Bruce J; Hahn, Tobias.

In: The Australasian Journal of Applied Finance, Vol. 2019, No. 3, 2019, p. 17-22.

Research output: Contribution to journalArticleResearchpeer-review

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