Momentum And Investor Sentiment: Evidence From Asian Stock Markets

Momentum is a well-known stock market anomaly that has yet to be fully explained. Though momentum has been widely examined in the US and other markets, literature on Asian stock markets is sparse. Moreover, effect of sentiment on momentum has not been investigated in non US markets. This study...

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Main Author:	Anusakumar, Shangkari V.
Format:	Thesis
Language:	English
Published:	2013
Subjects:	HF5001-6182 Business
Online Access:	http://eprints.usm.my/43939/1/Shangkari%20V.%20Anusakumar24.pdf
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id	my-usm-ep.43939
record_format	uketd_dc
spelling	my-usm-ep.439392019-04-12T05:26:12Z Momentum And Investor Sentiment: Evidence From Asian Stock Markets 2013-06 Anusakumar, Shangkari V. HF5001-6182 Business Momentum is a well-known stock market anomaly that has yet to be fully explained. Though momentum has been widely examined in the US and other markets, literature on Asian stock markets is sparse. Moreover, effect of sentiment on momentum has not been investigated in non US markets. This study hopes to fill the identified gaps. Notably, this study is the first to propose and investigate the influence of global and holding period sentiments on momentum. This thesis firstly explores the presence of momentum in 13 Asian countries (Bangladesh, China, Hong Kong, India, Indonesia, Japan, Malaysia, Pakistan, Philippines, Singapore, South Korea, Taiwan and Thailand) using data from January 2000 to December 2011. Secondly, effect of firm size and trading volume on momentum are tested. Finally, the pivotal part of the thesis is the analysis of the effect of sentiment on momentum. Specifically, the effects of local, global and holding period sentiments are investigated. On average, momentum is found to be present in Asia. On an individual country basis, momentum portfolio returns are predominantly positive and statistically significant for approximately one third of the countries. Segregation of the sample by size, volume and sentiment further showed increases in momentum. Taking into consideration sentiment and firm size yields the most promising results wherein all but one country had momentum. The findings reveal that sentiment plays a crucial role in the manifestation of momentum. 2013-06 Thesis http://eprints.usm.my/43939/ http://eprints.usm.my/43939/1/Shangkari%20V.%20Anusakumar24.pdf application/pdf en public phd doctoral Universiti Sains Malaysia Pusat Pengajian Siswazah Perniagaan
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	HF5001-6182 Business
spellingShingle	HF5001-6182 Business Anusakumar, Shangkari V. Momentum And Investor Sentiment: Evidence From Asian Stock Markets
description	Momentum is a well-known stock market anomaly that has yet to be fully explained. Though momentum has been widely examined in the US and other markets, literature on Asian stock markets is sparse. Moreover, effect of sentiment on momentum has not been investigated in non US markets. This study hopes to fill the identified gaps. Notably, this study is the first to propose and investigate the influence of global and holding period sentiments on momentum. This thesis firstly explores the presence of momentum in 13 Asian countries (Bangladesh, China, Hong Kong, India, Indonesia, Japan, Malaysia, Pakistan, Philippines, Singapore, South Korea, Taiwan and Thailand) using data from January 2000 to December 2011. Secondly, effect of firm size and trading volume on momentum are tested. Finally, the pivotal part of the thesis is the analysis of the effect of sentiment on momentum. Specifically, the effects of local, global and holding period sentiments are investigated. On average, momentum is found to be present in Asia. On an individual country basis, momentum portfolio returns are predominantly positive and statistically significant for approximately one third of the countries. Segregation of the sample by size, volume and sentiment further showed increases in momentum. Taking into consideration sentiment and firm size yields the most promising results wherein all but one country had momentum. The findings reveal that sentiment plays a crucial role in the manifestation of momentum.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Anusakumar, Shangkari V.
author_facet	Anusakumar, Shangkari V.
author_sort	Anusakumar, Shangkari V.
title	Momentum And Investor Sentiment: Evidence From Asian Stock Markets
title_short	Momentum And Investor Sentiment: Evidence From Asian Stock Markets
title_full	Momentum And Investor Sentiment: Evidence From Asian Stock Markets
title_fullStr	Momentum And Investor Sentiment: Evidence From Asian Stock Markets
title_full_unstemmed	Momentum And Investor Sentiment: Evidence From Asian Stock Markets
title_sort	momentum and investor sentiment: evidence from asian stock markets
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Siswazah Perniagaan
publishDate	2013
url	http://eprints.usm.my/43939/1/Shangkari%20V.%20Anusakumar24.pdf
_version_	1747821307202895872

Momentum And Investor Sentiment: Evidence From Asian Stock Markets

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