Is there momentum in Korean equity market?

Abstract

Momentum, whereby past returns are positively associated with future returns, has been documented in most of global equity markets. However, momentum is known to be relatively mild in East Asian equity markets. The momentum strategy does not yield significant returns in the Korean equity market until the early 2000s but does so afterwards. Momentum arises in the Korean equity market as foreign investment increases. Stocks that have a higher proportion of foreign investment exhibit stronger momentum. Similar to other global equity markets, the momentum strategy in Korea is stronger for small stocks and over intermediate horizons, and does not persist for long.