An Analysis of Momentum Strategies in Indian Stock Returns

Abstract

In this paper we examined the possibility of profit in pricemomentum strategy in the Indian equity market, which is one ofthe most promising emerging markets. We also investigated therelationship between momentum profits and historical tradingvolume. Our sample comprised of the blue-chip stocks represented
in BSE-100 index. Our empirical results found strong presenceof momentum phenomenon in the Indian market, and alsoreported that the winners’ portfolio contributes more to momentumreturn in line with the findings of Griffin et al. (2005). To measurethe effectiveness of volume-based price momentum strategies,
we replicated methodology used by Lee & Swaminathan (2000)and Naughton, Truong, & Veeraraghavan (2008) and found thathistorical trading volume has no role in boosting the magnitudeof momentum return. However, the study revealed that winners’portfolios have higher turnover in comparison to theircounterparts.