Momentum in the Philippine Stock Market
This paper investigates whether momentum, as described by Jegadeesh and Titman (1993), exists in the Philippine stock market. Results show that momentum did exist in the Philippine stock market prior to the Asian crisis (1991-1997). However, upon further inspection of the post-Asian crisis sample (1998-2001), the presence of momentum was not detected. Moreover, when the pre- and post-Asian crisis periods are combined, this aggregated sample gave weak evidence of momentum in the exchange.