Open Access

The Momentum Effect Exemplifies The Influence of Investors’ Irrational Behaviour on Changing Prices of Shares and Stocks: An Analysis of The Momentum Effect on The Warsaw Stock Exchange


Cite

Agrawal, A., Tandon K. (1994). Anomalies or Illusions? Evidence from Stock Markets in Eighteen Countries. Journal of International Money and Finance 13, no. 1: 83-106.10.1016/0261-5606(94)90026-4Open DOISearch in Google Scholar

Balaban, E. (1994). Day of The week effects: New Evidence from Emerging Stock Market, The Central Bank of The Republic of Turkey. Discussion Paper no. 9410, November 1994.Search in Google Scholar

Banz, R.W. (1981). The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics 9, no. 1: 3-18.10.1016/0304-405X(81)90018-0Open DOISearch in Google Scholar

Bernard, V., Thomas, J. (1989.) Post-earnings-announcement Drift: Delayed Price Response or Risk Premium. Journal of Accounting Research 27: 1-36.10.2307/2491062Open DOISearch in Google Scholar

Buczek, S. (2005). Efektywność informacyjna rynków akcji. Teoria, a rzeczywistość. Warszawa: Wydawnictwo SGH.Search in Google Scholar

Capaul, C., Rowley, I., Sharpe, W. (1993). International Value and Growth Stock Returns. Financial Analysts Journal 49, no. 1: 27-36.10.2469/faj.v49.n1.27Open DOISearch in Google Scholar

Choudhry, T. (2000). Day of the Week Effect in Emerging Asian Stock Markets: Evidence from the GARCH Model. Applied Financial Economics 10, no. 3: 235-242.Search in Google Scholar

De Bondt, W., Thaler, R. (1985). Does the Stock Market Overreact? Journal of Finance 40, no. 3: 793-805.10.1111/j.1540-6261.1985.tb05004.xOpen DOISearch in Google Scholar

Fama, E.F., French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance 47, no. 2: 427-465.10.1111/j.1540-6261.1992.tb04398.xOpen DOISearch in Google Scholar

Glaser, M., Weber, M. (2003). Momentum and Turnover: Evidence from the German Stock Market. Schmalenbach Business Review 55, no. 2: 108-135.Search in Google Scholar

Haugen, R.A., Lakonishok, J. (1988). The Incredible January Effect: The Stock Market’s Unsolved Mystery. Dow Jones- Irwin.Search in Google Scholar

Jegadeesh, N. (1990). Evidence of Predictable Behavior of Security Returns. Journal of Finance 45, no. 3: 881-898.10.1111/j.1540-6261.1990.tb05110.xOpen DOISearch in Google Scholar

Jegadeesh, N., Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48, no. 1: 65-91.10.1111/j.1540-6261.1993.tb04702.xOpen DOISearch in Google Scholar

Jegadeesh, N., Titman, S. (2001). Profitability of Momentum Strategies: an Evaluation of Alternative Explanations. The Journal of Finance 5,6 no. 2: 699-720.10.1111/0022-1082.00342Open DOISearch in Google Scholar

Johnson, T.C. (2002). Rational Momentum Effects. The Journal of Finance 57, no. 2: 585-608.10.1111/1540-6261.00435Open DOISearch in Google Scholar

Keim, D., Stambaugh, R. (1984). A Further Investigation of the Weekend Effect in Stock Returns. Journal of Finance 39: 819-35.10.1111/j.1540-6261.1984.tb03675.xOpen DOISearch in Google Scholar

Kelsey, D., Kozhan, R., Pang, W. (2011). Asymmetric Momentum Effects Under Uncertainty. Review of Finance 15, no. 3: 603-631.10.1093/rof/rfq021Open DOISearch in Google Scholar

Keong, L.B., Yat, D.N.C., Ling, C.H. (2010). Month-of-the-year effects in Asian Countries: A 20-year Study (1990-2009). African Journal of Business Management 4, no. 7: 1351-1362.Search in Google Scholar

Lakanishok, J., Levi, M. (1982). Weekend Effects in Stock Returns: A Note. Journal of Finance 37: 883-89.10.1111/j.1540-6261.1982.tb02231.xOpen DOISearch in Google Scholar

Latif, M., Arshad, S., Fatima, M., Farooq, S. (2011). Market Efficiency, Market Anomalies, Causes, Evidences, and Some Behavioral Aspects of Market Anomalies. Research Journal of Finance and Accounting 2, no. 9/10: 1-13.Search in Google Scholar

Lehmann, B. (1990). Fads, Martingales and Market Efficiency. Quarterly Journal of Economics 105, no. 1: 1-28.10.2307/2937816Open DOISearch in Google Scholar

Mehdian S, Perry M. (2001). The Reversal of the Monday Effect: New Evidence from US Equity Markets. Journal of Business Finance & Accounting 28, no. 7/8, 1043-1065.10.1111/1468-5957.00404Open DOISearch in Google Scholar

Michaely, R., Thaler, R.H., Womack, K.L. (1995). Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? The Journal of Finance 50, no. 2: 573-608.10.1111/j.1540-6261.1995.tb04796.xOpen DOISearch in Google Scholar

Richardson, S., Tuna, I., Wysocki, P. (2010). Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances. Journal of Accounting and Economics, 50, no. 2/3: 410-454.Search in Google Scholar

Rouwenhorst, G. (1999). European Equity Markets and the EMU. Financial Analysis Journal 55, no. 3, 57-64. Samuelson, P. (1965). Proof that Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review 6:41-49.Search in Google Scholar

Szyszka, A. (2003). Efektywność Giełdy Papierów Wartościowych w Warszawie na tle rynków dojrzałych. Poznań: Akademia Ekonomiczna w Poznaniu.Search in Google Scholar

Szyszka, A. (2006). Zjawisko kontynuacji stóp zwrotu na Giełdzie Papierów Wartościowych w Warszawie. Bank i Kredyt 8: 37-49.Search in Google Scholar

Wójtowicz, T. (2011). Efekt momentum na GPW w Warszawie w latach 2003-2010. Ekonomia Menedżerska 9: 63-74..Search in Google Scholar