Study of Momentum Investing in 52-Week High and 52-Week Low Stocks
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Date
2011
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Publisher
Punjab Agricultural University
Abstract
Momentum investing in stock markets has been reported in several developed and emerging stock
markets. This study entitled “Study of Momentum Investing in 52-Week High and 52-Week Low
Stocks”, aimed to empirically examine the momentum investing in selected stocks. In order to
achieve the objectives, a total of 250 stocks comprising 50 stocks every year (25 stocks from 52week
high stocks and 25 stocks from 52-week low stocks) from NSE stock universe were
selected from 2006 to 2010. The adjusted closing prices were obtained and returns were first
compared with zero return (raw comparison). Further relative comparisons with the returns of
S&P CNX NIFTY, CNX NIFTY JUNIOR and S&P CNX 500 were done for the same time
period. The results revealed the presence of nil momentum investing in 52 week high stocks
during short term period (30 days). For the intermediate period (90days) and long period (180
days) momentum investing worked particularly in 52 week high stocks. On the other hand in case
of 52 week low stocks, momentum investing worked very well in short term period. In term of
relative comparison it was found that momentum investing didn’t work at all in 52 week high
stocks but was highly effective, although amid slight trend reversals, in 52 week low stocks.
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Keywords
invest, stocks