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Article

Do momentum and reversal matter in the Singapore stock market?

Pages 1692-1708 | Received 10 Sep 2019, Accepted 02 Apr 2020, Published online: 24 Apr 2020
 

ABSTRACT

This paper shows the presence of positive momentum return in the short run but no subsequent price reversal in the Singapore Market. Rather, price momentum continues in the long run. It also demonstrates that momentum profit is higher for the small and highly volatile firms rather than the large stable firms. Both portfolio level and firm-level cross-sectional analyses are used to show the relationships.

Disclosure statement

No potential conflict of interest was reported by the author.

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