Momentum effect in the Vietnamese stock market

DOI: 10.5176/2251-1997_AF88

Authors: Thu Hang Nguyen

Abstract:

Examining the profits on the momentum portfolios, the study discovers the short-term momentum effect in the Vietnamese stock market. However, further tests by specific periods, by sizes show the poor performance of the momentum profit after controlling for risks. The study also explains the poor performance by arguing some sources of the momentum profits such as market states and investors’ behavior.

Keywords: Momentum effect; market state; investors’ behavior

LinkOut:    ScienceDirect