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题目：Trading Volume, Price Momentum, and the 52-Week High Price Momentum Strategy in the Saudi Stock Market
作者 Abdullah N. Alsubaie Mohammad Najand
Abstract:
This paper investigates the existence of a pure momentum strategy in the Saudi stock market (SSM), the largest market in the Middle East and one of the fastest growing markets in the world. Price momentum profitability in the SSM is very similar in magnitude and significance to these found in developed market. We also find that trading volume affects the profitability of a momentum strategy. Stocks possessing momentum combined with a high volume during the previous 3, 6, 9, and 12 months continue to perform better in the following 3, 6, 9, and 12 months than stocks with a low trading volume.
The 52-week high price momentum strategy for the SSM contradicts the empirical result of George and Hwang (2004) for the US market. We find a reversal in stocks that have reached their 52-week high. George and Hwang argue that when a stock reaches it 52-week high price, investors are reluctant to bid the price higher even if the information warrants it. The information of good new eventually prevails and pushes the stock prices higher. We do not find this for the SSM. One possible explanation of the different result obtained here for the SSM compared to the results for well developed financial markets such as US can be attributed to the diffusion of information and investors overreaction. Stocks might reach their 52-week high price because investors speculation moves the price to their 52-week high; however, when more accurate news reaches the market, the stocks drop below their 52-week high price.
Keywords: Trading Volume, Price Momentum, Saudi Stock Market
链接：http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1087391
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