Articles

Momentum and reversal effects in the Korean stock market

Published in: Investment Analysts Journal
Volume 54 , issue 4 : Entrepreneurship and Africa’s Cultural Context , 2024 , pages: 611–627
DOI: 10.1080/10293523.2024.2448054
Author(s): Daeyun Kang Sungkyunkwan University, Korea, Doojin Ryu Sungkyunkwan University, Korea, Robert I. Webb , USA,
Keywords: cross-sectional momentum, emerging market, industry momentum, market efficiency, G11, G12, G14,
Download full text Get new issue alerts

Abstract

We analyse a long-term dataset of the Korean equity market from 1983 to 2023 to explore the momentum and reversal effects in both individual stocks and industry sectors. In general, portfolios based on individual stock momentum strategies exhibit a reversal effect, while those based on industry momentum strategies show no significant effects. The reversal effect in individual stocks persists, even when controlling for industry momentum. In certain sub-periods, we observe momentum effects, but overall, reversal effects are dominant. These anomalies persist, even after controlling for various risk factors.
« Can good ESG performance help companies resist external shocks?
Relevance of corporation quality and environmental protection, social responsibility, and corporate governance »

Get new issue alerts for Investment Analysts Journal

CAPTCHA Reload CAPTCHA