PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN THE COLOMBO STOCK EXCHANGE (CSE)

Authors

  • C. Pathirawasam Department of Commerce and Financial Management, University of Kelaniya, Sri Lanka
  • Y. K. Weerakoon Banda Department of Finance, University of Sri Jayewardenepura, Sri Lanka

Abstract

This paper examines the profi tability of momentum and contrarian strategies in the Colombo Stock Exchange (CSE) around 1 to 12 months horizon covering the period from October 1991 to June 2005. We follow the same methodology of Jegadeesh and Titman (1993). The study fi nds that momentum strategies are highly profi table in the CSE. Examining between pre-and post-automation periods of the CSE, we fi nd evidence that momentum strategies are signifi cantly more profi table during post-automation period.

Keywords: Momentum Strategies, Contrarian Strategies, Colombo Stock Exchange

For full paper: fmscresearch@sjp.ac.lk

Author Biographies

C. Pathirawasam, Department of Commerce and Financial Management, University of Kelaniya, Sri Lanka

Department of Commerce and Financial Management,
University of Kelaniya, Sri Lanka

Y. K. Weerakoon Banda, Department of Finance, University of Sri Jayewardenepura, Sri Lanka

Department of Finance,
University of Sri Jayewardenepura, Sri Lanka

Published

2012-12-18

Issue

Vol. 5 (2008): Proceedings of the Fifth International Conference on Business Management

Section

Articles