Veeraraghavan, Madhu
[Verfasser:in]
;
Thi Nguyen, Mai Truc
[Sonstige Person, Familie und Körperschaft];
Truong, Cameron
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2007 erstellt
Beschreibung:
This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits during the period 2000-2006 and our findings are robust to various tests, risk adjustments and market microstructure biases. We also show that trading volume is particularly important in generating momentum returns. We further document that price limits significantly hinder market liquidity. This fact, to a large extent, accounts for the strong price continuity of the Vietnam Stock Exchange