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Concurrent momentum and contrarian strategies in the Australian stock market

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Doan, MP, Alexeev, V and Brooks, R 2014 , Concurrent momentum and contrarian strategies in the Australian stock market.

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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 show 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.

Item Type: Report (Discussion Paper)
Authors/Creators:Doan, MP and Alexeev, V and Brooks, R
Keywords: technical analysis; momentum and contrarian strategies; model based bootstrap; repec
Publisher: University of Tasmania
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Copyright 2014 The Authors

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