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Momentum Effect: Developed vs. Emerging Stock Markets

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Business Information Systems Workshops (BIS 2011)

Part of the book series: Lecture Notes in Business Information Processing ((LNBIP,volume 97))

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Abstract

In the recent debates over the informational efficiency of the stock markets, particular attention has been paid to the momentum violating the traditional finance theory which is being taught at business schools. Although many empirical findings support the existence of price momentum, there are still many angles to be researched for the sake of complete understanding of the momentum phenomenon. This paper will emphasize the importance of country selection for the profitability of momentum strategies since academic literature lacks the comparison of the momentum profitability across Emerging and Developed stock markets. Therefore, the main objective of the paper is to investigate the profitability difference of momentum effect between Emerging and Developed stock markets. The study will embrace back-testing stock markets across pre-crisis (year 2005 to 2007) and crisis (year 2008 to mid-2010) periods.

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Author information

Authors and Affiliations

  1. Copenhagen Business School, Solbjerg Plads 3, 2000, Frederiksberg, Denmark

    Andrius Svolka

  2. Vilnius University Kaunas Faculty of Humanities, Muitines 8, 44280, Kaunas, Lithuania

    Donatas Pilinkus & Edverdas Bartkus

Authors
  1. Andrius Svolka
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  2. Donatas Pilinkus
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  3. Edverdas Bartkus
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Editor information

Editors and Affiliations

  1. Poznań University of Economics, Al. Niepodległości 10, 60-161, Poznań, Poland

    Witold Abramowicz

  2. Division of Information and Communication Sciences Department of Computing, Macquarie University, 2109, Sydney, NSW, Australia

    Leszek Maciaszek

  3. Poznań University of Economics, Al. Niepodległości 10, 60-967, Poznań, Poland

    Krzysztof Węcel

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© 2011 Springer-Verlag Berlin Heidelberg

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Svolka, A., Pilinkus, D., Bartkus, E. (2011). Momentum Effect: Developed vs. Emerging Stock Markets. In: Abramowicz, W., Maciaszek, L., Węcel, K. (eds) Business Information Systems Workshops. BIS 2011. Lecture Notes in Business Information Processing, vol 97. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-25370-6_11

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  • DOI: https://doi.org/10.1007/978-3-642-25370-6_11

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-25369-0

  • Online ISBN: 978-3-642-25370-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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