The comparison of volume-based 52-week high price momentum and volume-based stock return momentum strategies in the Stock Exchange of Thailand

Abstract

This study presents the comparison of investment strategies between the volume-based 52-week high price momentum and the volume-based stock return momentum strategies in the Stock Exchange of Thailand (SET) over 20-year time horizon, spanning over 1988-2007, using the approach of buying past winner stocks and selling past loser stocks based on two momentum strategies; JT momentum (Jegadeesh and Titman, JT, 1993) and 52-week high price momentum strategies (George and Hwang, GH, 2004). Following Lee and Swaminathan (LS, 2000), the portfolios are formed based on the interactions of past trading volume and the momentum strategies. As expected, trading volume helps improve the momentum profitability, and the 52-week high price momentum significantly outperforms the JT momentum strategies in every category of trading volume stocks. In addition, the results are consistent with LS (2000) in that the momentum profit is higher in high volume stocks than low volume stocks. However, in contrast to LS (2000) who found that buying past low volume winners and selling past high volume losers was the most momentum profitability, we find that buying past high volume winners and selling past high volume losers gains higher future momentum returns in the SET. Finally, similar to the prior studies, the JT momentum portfolios experience long-term reversals in the next five years, while the 52-week high price momentum portfolios do not, regardless of whether or not the momentum strategies are based on the trading volume