Does momentum effect exist under financial crisis? : a basic research in Canadian stock market

Gu, Chun

dc.contributor.advisor	Boabang, Francis
dc.coverage.spatial	Canada
dc.creator	Gu, Chun
dc.date.accessioned	2013-10-02T19:32:50Z
dc.date.available	2013-10-02T19:32:50Z
dc.date.issued	2013
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25257
dc.description	1 online resource (iv, 30 p.)
dc.description	Includes abstract.
dc.description	Includes bibliographical references (p. 28-30).
dc.description.abstract	Momentum effect is a market anomaly. It indicates that past winners in the stock market keep over-performing past losers over the short run namely, one to twelve months. The purpose of this paper is to examine whether the momentum could exist during the time of financial crisis. With a sample which includes stocks from the Toronto Stock Exchange (TSX) from March.03, 2007 to April, 04, 2008, we conclude that the momentum effect is not significant in Canada stock market in that period of time. Meanwhile, this paper offer reasonable explanation for the disappearance of momentum effect, including information symmetry, market state and confirmation bias.	en_CA
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dc.description.provenance	Made available in DSpace on 2013-10-02T19:32:50Z (GMT). No. of bitstreams: 1 gu_chun_mrp_2013.pdf: 317547 bytes, checksum: f630969ac84a9816f9fe3d22a4af5743 (MD5)	en
dc.language.iso	en	en_CA
dc.publisher	Halifax, N.S. : Saint Mary's University
dc.title	Does momentum effect exist under financial crisis? : a basic research in Canadian stock market	en_CA
dc.type	Text	en_CA
thesis.degree.name	Master of Finance
thesis.degree.level	Masters
thesis.degree.discipline	Finance, Information Systems, & Management Science
thesis.degree.grantor	Saint Mary's University (Halifax, N.S.)