Momentum and reversal effects in the Korean stock market

Abstract

We analyse a long-term dataset of the Korean equity market from 1983 to 2023 to explore the momentum and reversal effects in both individual stocks and industry sectors. In general, portfolios based on individual stock momentum strategies exhibit a reversal effect, while those based on industry momentum strategies show no significant effects. The reversal effect in individual stocks persists, even when controlling for industry momentum. In certain sub-periods, we observe momentum effects, but overall, reversal effects are dominant. These anomalies persist, even after controlling for various risk factors.