An Empirical Analysis of momentum profitability, seasonality, and reversibility at Nairobi stock exchange
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Date
2012Author
Lishenga, Lisiolo
Type
ArticleLanguage
enMetadata
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In this thesis, we employed data from the NSE to investigate the existence of the
price momentum effect, the profitability of momentum trading strategies, and the
possibility of seasonal and reversal patterns in the profitability. We formed
relative strength strategies for all stocks listed over the period (and sub-periods)
1996 to 2007. The initial unrestricted tests revealed the existence of significant
momentum, which could be the basis of profitable investment strategies. When the
momentum profits are analyzed further, we found; that there was absence of a
calendar regularity to the profits, and that there was mild reversal of profitability
in the medium term.