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Profitability of Momentum Strategies in Malaysia

This paper examines the profitability of momentum strategies within the Malaysian stock market. Its also investigates relationship between stock returns and past trading volume. The study finds weak but insignificant evidence of momentum returns for Malaysian equities which is pervasive across different combinations of formation and holding periods with a maximum average return of 1.76 % per quarter. A clear reversal pattern with greater volatility is observed when non-overlapping portfolios are used. The study also finds that momentum return is more pronounced among stocks with low trading volume which contradicts previous studies. The impact of Asian financial crisis on momentum return is marginal and trend in the stock returns remains relatively unchanged.