In this thesis, we employed data from the NSE to investigate the existence of the price momentum effect, the profitability of momentum trading strategies, and the possibility of seasonal and reversal patterns in the profitability. We formed relative strength strategies for all stocks listed over the period (and sub-periods) 1996 to 2007. The initial unrestricted tests revealed the existence of significant momentum, which could be the basis of profitable investment strategies. When the momentum profits are analyzed further, we found; that there was absence of a calendar regularity to the profits, and that there was mild reversal of profitability in the medium term.
ISSN: 2241-0996 (Online)