Size, Seasonality, Market States and Contrarian Profits

Si Roei Kew, Lain Tze Tee



The study investigates the profitability of contrarian and momentum strategies for short, intermediate and long investment horizons in the Malaysian stock market from 1990-2016. Unlike developed markets, the findings reveal that momentum strategies do not generate profits in Malaysia. Rather, contrarian strategies realise significant returns over short, intermediate and long investment horizons. Contrarian profits are most pronounced among medium- and small-capitalisation stocks. Moreover, the previously documented February/Chinese New Year effect is evident in contrarian profits. Further, market states are important determinants of contrarian profits. Specifically, contrarian returns are greater following market downturns than market upturns. The findings provide important implications for investors who are considering momentum and contrarian strategies as potential investments.

Keywords: Contrarian strategies; momentum strategies; firm size; monthly seasonality; market states


Kajian ini mengkaji keuntungan strategi momentum dan kontrarian dalam tempoh pelaburan jangka masa pendek, sederhana dan panjang di pasaran saham Malaysia dari tahun 1990-2016. Tidak seperti negara-negara maju, hasil kajian menunjukkan bahawa strategi momentum tidak menjana keuntungan di Malaysia. Sebaliknya, strategi kontrarian menghasilkan keuntungan yang signifikan dalam tempoh pelaburan jangka masa pendek, sederhana dan panjang. Keuntungan strategi kontrarian adalah paling tinggi di kalangan saham-saham bersaiz kecil dan sederhana. Selain itu, keuntungan kontrarian yang tinggi diperoleh pada bulan Februari/Tahun Baru Cina. Tambahan pula, keadaan pasaran merupakan faktor utama keuntungan kontrarian. Secara khususnya, pulangan kontrarian adalah lebih tinggi berikutan kemerosotan pasaran berbanding dengan pertumbuhan pasaran. Hasil kajian ini memberikan implikasi yang penting kepada pelabur yang sedang mempertimbangkan strategi kontrarian dan momentum sebagai pilihan pelaburan yang berpotensi.

Kata kunci: Strategi kontrarian; strategi momentum; saiz firma; seasonaliti bulanan; keadaan pasaran


Contrarian and momentum strategies; firm size; monthly seasonality; market states; Malaysia

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