Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong

Pacific Basin Finance Journal

Volumn 19, Issue 1, 2011, Pages 140-156

  Ramiah, Vikash ^a   Cheng, Ka Yeung ^a   Orriols, Julien ^a   Naughton, Tony ^a   Hallahan, Terrence ^a  

^a RMIT UNIVERSITY   (Australia)

Author keywords

Contrarian strategy; Cross listings; G11; G12; G15; Hong Kong; Multifactor model; Turnover ratio

Indexed keywords

EID: 78149465232     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2010.09.005     Document Type: Article

References (53)

1. Agarwal S., Liu C., Rhee S.G. Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London. Journal of International Money and Finance 2007, 26:46-63.
2. Antoniou A., Galariotis E.C., Spyrou S.I. Contrarian profits and the overreaction hypothesis: the case of the Athens stock exchange. European Financial Management 2005, 11:71-98.
3. Bae K., Cha B., Cheung Y. The transmission of pricing information of dually-listed stocks. Journal of Business Finance and Accounting 1999, 26:709-723.
4. Bhoocha O.A., Stansell S.R. A study of international financial markets integration: an examination of the U.S. Hong Kong and Singapore markets. Journal of Business Finance and Accounting 1990, 17:193-212.
5. Blume L., Easley D., O'Hara M. Market statistics and technical analysis: the role of volume. Journal of Finance 1994, 49:153-181.
6. Bremer M., Hiraki T. Volume and individual security returns on the Tokyo Stock Exchange. Pacific-Basin Finance Journal 1999, 7:351-370.
7. Brouwer I., Van Der Put J., Veld C. Contrarian investment strategies in a European context. Journal of Business Finance and Accounting 1997, 24:1353-1366.
8. Cheung Y.W., Chinn M.D., Fuji E. China, Hong Kong and Taiwan: a quantitative assessment of real and financial integration. China Economic Review 2003, 14:281-303.
9. Chin J.Y.F., Prevost A.K., Gottesman A.A. Contrarian investing in a small capitalization market: evidence from New Zealand. The Financial Review 2002, 37:421-446.
10. Chopra N., Lakonishok J., Ritter J.R. Measuring abnormal performance: do stocks overreact?. Journal of Financial Economics 1992, 31:235-268.
11. Chordia T., Swaminathan B. Trading volume and cross-autocorrelations in stock returns. Journal of Finance 1999, 55:913-935.
12. Chou P., Wei K.C.J., Chung H. Sources of contrarian profits in the Japanese Stock market. Journal of Empirical Finance 2007, 14:261-286.
13. Chowdhry B., Nanda V. Multimarket trading and market liquidity. Review of Financial Studies 1991, 4:483-512.
14. Chui A.C.W., Titman S., Wei K.C.J. Momentum, legal systems and ownership structure: an analysis of Asian stock markets. Working Paper 2000, Hong Kong Polytechnic University.
15. Chui A.C.W., Titman S., Wei K.C.J. Individualism and momentum around the world. Working Paper 2005, Hong Kong Polytechnic University.
16. Conrad J.S., Hameed A., Niden C. Volume and autocovariances in short-horizon individual security returns. The Journal of Finance 1994, 49:1305-1359.
17. Corhay A., Rad A.T., Urbain J.P. Long run behaviour of Pacific-basin stock prices. Applied Financial Economics 1995, 5:11-18.
18. Daniel K.D., Hirshleifer D., Subrahmanyam A. Investor psychology and security market under- and over-reactions. Journal of Finance 1998, 53:1839-1886.
19. De Bondt W.F.M., Thaler R. Does the stock market overreact?. The Journal of Finance 1985, 40:793-805.
20. Faff R. A simple test of the Fama and French model using daily data: Australian evidence. Applied Financial Economics 2004, 14:83-92.
21. Fama E.F., French K.R. Multifactor explanations of asset pricing anomalies. Journal of Finance 1996, 51:55-84.
22. Forner C., Marhuenda J. Contrarian and momentum strategies in the Spanish stock market. European Financial Management 2003, 9:67-88.
23. Fung A.K.W. Overreaction in the Hong Kong stock market. Global Finance Journal 1999, 10:223-230.
24. Griffin J.M., Ji X., Martin J.S. Momentum investing and business cycle risk: evidence from pole to pole. The Journal of Finance 2003, 58:2515-2547.
25. Hameed A., Kusnadi Y. Momentum strategies: evidence from Pacific Basin stock markets. The Journal of Financial Research 2002, 25:383-397.
26. Hameed A., Ting S. Trading volume and short-horizon in contrarian profits: evidence from the Malaysian market. Pacific-Basin Finance Journal 2000, 8:67-84.
27. Hauser S., Levy A. Efficiency of price discovery in thinly traded stocks: evidence from dually listings in Tel Aviv and the OTC. Multinational Finance Journal 1998, 2(2):133-149.
28. Hauser S., Tanchuma Y., Yaari U. International transfer of pricing information between dually listed stocks. Journal of Financial Research 1998, 21:139-157.
29. Heston S.L., Rouwenhorst K.G., Wessels R.E. The role of beta and size in the cross-section of European stock returns. European Financial Management 1999, 5:9-28.
30. Jegadeesh N. Evidence of predictable behavior of security returns. Journal of Finance 1990, 45:881-898.
31. Jegadeesh N., Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 1993, 48:65-91.
32. Johnson R., Soenen L.A. Asian economic integration and stock market co-movement. The Journal of Financial Research 2002, 25:141-157.
33. Kang J., Liu M.H., Ni S.X. Contrarian and momentum strategies in the China stock market: 1993-2000. Pacific-Basin Finance Journal 2002, 10:243-265.
34. Khan W.A., Baker H.K., Kennedy K.E., Perry L.G. Dual domestic listing, market structure and shareholder wealth. Financial Review 1993, 28:371-383.
35. Lakonishok J., Shleifer A., Vishny R. Contrarian investment, extrapolation, and risk. Journal of Finance 1994, 49:1541-1578.
36. Lee C.M.C., Swaminathan B. Price momentum and trading volume. Journal of Finance 2000, 55:2017-2069.
37. Lee D.D., Chan H., Faff R.W., Kalev P.S. Short-term contrarian investing is it profitable? Yes and no. Journal of Multinational Financial Management 2003, 13:385-404.
38. Lehmann B. Fads, martingales and market efficiency. Quarterly Journal of Economics 1990, 105:1-28.
39. Leung R.W.T., Li M. Does Hong Kong market overreact?. Asia Review of Accounting 1998, 6:101-116.
40. Lo K., Coggins R. Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market. Pacific-Basin Finance Journal 2006, 14:291-310.
41. Lo A.W., MacKinlay A.C. When are contrarian profits due to stock market overreaction?. Review of Financial Studies 1990, 3:175-250.
42. Mcinish T., Ding D., Pyun C.S., Wongchoti U. Short-horizon contrarian and momentum strategies in Asian markets. An Integrated Analysis International Review of Financial Analysis 2008, 17:312-329.
43. Monagle S., Ramiah V., Hallahan T., Naughton T. Decomposing contrarian strategies by the global industry standard: Australian evidence. School of Economics, Finance and Marketing Working Paper 2006, Royal Melbourne Institute of Technology.
44. Mun J.C., Vasconcellos G.M., Kish R. Tests of the contrarian investment strategy evidence from the French and German stock markets. International Review of Financial-Analysis 1999, 8:215-234.
45. Naranjo A., Nimalendran M., Ryngaert M. Stock returns, dividend yields, and taxes. Journal of Finance 1998, 53:2029-2057.
46. Naughton T., Ramiah V., Veeraraghavan M. First and second board momentum strategies in Singapore. Working Paper 2006, Royal Melbourne Institute of Technology.
47. Novak J., Hamberg M. Contrarian investment, accounting conservatism and transitory earnings. Working Paper 2005, Uppsala University.
48. Otchere I., Chan J. Short-term overreaction in the Hong Kong stock market: can a contrarian trading strategy beat the market?. Journal of Behavioural Finance 2003, 4:157-171.
49. Tsang S.K., Ma Y. The Integration of China and Hong Kong into the World Economy: A Prototype Global Econometric Model 2000, Hong Kong Baptist University.
50. Wang S.S., Rui O.M., Firth M. Return and volatility behavior of dually-traded stocks: the case of Hong Kong. Journal of International Money and Finance 2002, 21:265-293.
51. Wei K.C.J., Liu Y., Yang C., Chaung G. Volatility and price change spillover effects across the developed and emerging markets. Pacific-Basin Finance Journal 1995, 3:113-136.
52. Yoshio L., Hideaki-Kiyoshi K., Toshifumi T. Predictability of Japanese stock returns: momentum or contrarian?. Working Paper 2002, Tokyo University.
53. Zarowin P. Size, seasonality, and stock market overreaction. Journal of Financial and Quantitative Analysis 1990, 25:113-125.