Profitability of Momentum Strategies in Emerging Markets: Evidence from Nairobi Stock Exchange
Journal of Financial Studies and Research
This paper tests the profitability of momentum strategies in Kenya, an emerging market for the period 1995 to 2007. Both relative strength strategies (RSS) and (weighted relative strength strategies (WRSS) are employed to implement momentum-based trading strategies. Analysis revealed that Nairobi Stock Exchange (NSE) exhibit…