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论文作者:anter论文属性:案例分析 Case Study登出时间:2010-11-30编辑:anterran点击率:15216
论文字数:5782论文编号:org201011301323267409语种:英语 English地区:澳大利亚价格:免费论文
关键词:Successful Momentum StrategiesAustralianWarrant Market
Successful Momentum Strategies www.51lunwen.orgin the Australian Warrant Market
Vikash Ramiah*, John A Anderson†, Xue Ming Le*, Yacintha Setiadi* and Tony Naughton*School of Economics, Finance and Marketing, RMIT, GPO Box 2476V, Melbourne, 3001, Australia.
† Institute of Finance and Banking, The British University in Dubai, Hon Fellow, Sir john Cass Business School, City University, London. PO Box 502216, Dubai, UAE.
Address for Correspondence:
Vikash Ramiah
School of Economics, Finance and Marketing
RMIT University
Level 12, 239 Bourke Street
Melbourne, Australia 3000
Tel: +61 3 9925 5828
Fax: +61 3 9925 5986
Email: [email protected]
The authors wish to www.51lunwen.orgacknowledge the invaluable research assistance of Damir Coralic, Jessica Tandayu Australian Tirtha, and Anita Wijono in data gathering, computation, programming, and graphing. Any remaining errors are the responsibility of the authors.
Successful Momentum Strategies in the Australian Warrant Market
In this paper synthetic positions are constructed to replicate momentum trading so that stock momentum strategies were evaluated without actually trading in stocks. The basis of the approach adopted here is the utilization of derivative contracts on the underlying individual stocks. This approach means the positions are simulated via the buying and selling warrants as required to create the winning and losing portfolios. This study empirically tests these synthetic strategies on the Australian Stock Exchange (ASX). As a comparison, this is the first study to add another test of momentum strategies on only the derivatives market without taking positions based on the underlying stocks market. The results show that that the derivative momentum of stock portfolios is a highest log-return yields a return of 0.0066% per day equating to a return of 1.65% per annum.
JEL Classification: G11, G12, G15
Keywords: Momentum, Warrants, Past Returns, Australia
I. Introduction
The popularity of momentum strategies has been increasing as increasing reports of profitable are appearing making it a somewhat popular topic of debate among researchers in this field. Consequently, empirical studies on momentum strategies continue to appear in various journals around the world. Consequently numerous researchers have sought explanations for this phenomenon concerning the basis of momentum strategy effects. DeLong et al (1990), among others , provide a behavioural explanation to this anomaly. Towards the end of the 1990’s, it became apparent that momentum strategies could not be classified as a contrarian investment strategy.
Recent studies such as Lesmond, Schill, and Zhou (2004) and Korajczyk and Sadka (2004) challenge the well-accepted doctrine on the basis of transaction costs. Hogan et al (2004) empirically investigate whether momentum and value trading strategies constitute statistical arbitrage opportunities in the US. After adjusting for transaction costs, the influence of small stocks, margin requirements, liquidity buffers for the marking-to-market of short sales, higher borrowing rates and so on, the evidence demonstrates that these strategies are capable of generating statistical arbitrage. It appears fair to state that momentum effects do exist in many of the equity markets around the globe.
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