Published Online:October 2024
Product Name:The IUP Journal of Applied Finance
Product Type:Article
Product Code:IJAF031024
Author Name:Poonam Saini and Ramesh Chander
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:30-48
This study investigates the impact of momentum investment strategy, as introduced by Jagadeesh and Titman (1993), on significant stock returns at the National Stock Exchange (NSE) from January 2005 to December 2020. To examine the significance of stock returns, the study considers monthly stock prices of the highly liquid and traded 500 stocks (Nifty 500). Independent sample t-tests at 0.05 significance level are used to comment on the significance of the findings. The results reveal that momentum investing strategy yields superior stock returns during bear phases of the Indian stock market, compared to bull phases and overall market performance. These returns are very robust with trailing 12 months tracking period for investment decision making. These findings have implications for investors, portfolio managers, and investment advisers. Given India’s status as a significant emerging country, the study’s findings have larger implications for institutional wealth managers and global portfolio flows, helping to create wealth on a worldwide scale.
Financial research has focused on analyzing stock return patterns, and vital research findings have shaped investment strategies over time. Early research findings on pattern of stock return documented the performance reversals across short time horizons, particularly at 1- and 6-months (Jegadeesh, 1990; and Lehmann, 1990).