INDUSTRY ROTATION USING MOMENTUM STRATEGY: EVIDENCE FROM THE STOCK EXCHANGE OF THAILAND

Authors

  • นพพล ตั้งจิตพรหม คณะบริหารธุรกิจ มหาวิทยาลัยอัสสัมชัญ

Keywords:

Industry Rotation Momentum Strategy, Investment Strategy, Stock Exchange of Thailand, Marketing Timing

Abstract

This paper examines the performance of industry rotation using momentum strategy evidenced from the Stock Exchange of Thailand. The data is based on the industry total return index during 141-month period starting from January 2004 to September 2015. The most successful strategy is the strategy with six-month formation period with one-month holding period that can generate the return significantly higher than a benchmark portfolio. This implies that determining the winner very frequently can improve the performance of the industry momentum strategy. Therefore, this paper has the contribution for both institutional investors and individual investors to exploit the knowledge in developing the investment strategy in order to earn above-average return. Moreover, the individual investors, by this technique then, can implement the strategy easily with relatively low transaction cost.

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Published

30.12.2016

How to Cite

ตั้งจิตพรหม น. INDUSTRY ROTATION USING MOMENTUM STRATEGY: EVIDENCE FROM THE STOCK EXCHANGE OF THAILAND. RMUTT Global Business and Economics Review, Pathum Thani, Thailand, v. 11, n. 2, p. 41–58, 2016. Disponível em: https://so03.tci-thaijo.org/index.php/RMUTT-Gber/article/view/241960. Acesso em: 22 dec. 2024.

Issue

Vol. 11 No. 2 (2016): July – December

Section

Research Articles

License

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