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- W1542248911 abstract "This paper investigates the effectiveness of momentum strategies for equities listed on the Vietnam Stock Exchange. It also investigates the roles of trading volume and price limits to examine the profitability of momentum strategies. Our paper finds evidence of significant momentum profits during the period 2000-2006 and our findings are robust to various tests, risk adjustments and market microstructure biases. We also show that trading volume is particularly important in generating momentum returns. We further document that price limits significantly hinder market liquidity. This fact, to a large extent, accounts for the strong price continuity of the Vietnam Stock Exchange." @default.
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- W1542248911 date "2007-01-01" @default.
- W1542248911 modified "2023-10-14" @default.
- W1542248911 title "Delayed Price Discovery and Momentum Strategies: Evidence from Vietnam" @default.
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- W1542248911 doi "https://doi.org/10.2139/ssrn.983832" @default.
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