Industry Momentum Strategy in Malaysian Stock Market

Momentum strategy is applied in the stock market by buying past winners and selling past losers. In this study, the profitability of industry momentum strategy will be explored for Malaysian stock market. The motivation of this study arises from the notion that industry momentum is more significant than individual stocks momentum strategy. We use monthly data of 24 Malaysian industry sector indices from January 2008 to December 2012. The results indicate that industry momentum strategy is profitable in Malaysian market and most of the profit is derived from long position of winners while the losers do not contribute to the profitability of momentum strategy. Also, this study shows that systematic risk, measured by beta, cannot explain the industry momentum strategy in Malaysia. This evidence may suggest that Malaysian market is not weak form efficient as past prices could be utilized by investors to reap abnormal profit following industry momentum strategy.