Momentum and Contrarian Strategies on ASEAN Markets

Momentum strategy entails buying stocks with a recent history of good performance and selling stocks with bad performance (Jegadeesh & Titman, 1993). On the contrary, contrarian strategy proposes a trading strategy of buying poorly performing stocks and selling better-performing stocks (De Bondt & Thaler, 1985). Underlying the contrarian strategy is the belief that prices will reverse, whereas proponents of momentum strategy contend that return continuation will occur. Both strategies are successful at different time horizons: intermediate term for momentum and long term for contrarian. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.