An Investigation on Existence of Momentum in the Stock Exchange of Thailand

In the Stock Exchange of Thailand, we examine whether buying stocks that have performed well in the past and selling those stocks that have performed poorly in the past will generate statistically significant positive return in the future. The performance of this strategy has been well studied in different countries by scholars. These studies suggest that past winners tend to outperform past losers in the future. However, academic research in this direction has been limited in countries such as Thailand, and to the best of our knowledge, there has been no such study in Thailand after the financial crisis of 1997. In order to examine the profitability of momentum strategy in Thailand market, six portfolios are constructed according to size and past performances of stocks. Returns on portfolios are calculated on monthly basis over the period from 2010 to 2014. We find that momentum strategy realizes significantly positive return in large size stocks category but not in small size stocks during this period. Furthermore, the equal weighted average of momentum profit of both small and large size categories do not provide any indication of overall momentum profit.