A Study of Contrarian and Momentum Profits in Indian Stock Market

This paper studies the Indian stock market within the framework of momentum and contrarian strategies, using the monthly-adjusted prices of all the stocks listed on National Stock exchange (NSE) having complete data for the sample period January 1997 to March 2013. The findings of the study document the presence of statistically significant short-term momentum and longterm overreaction effect in India. Further, the paper also evaluates the predictions of various behavioural models that propose that momentum profits eventually reversed in long term. The evidence of the paper provides support for the behavioural explanation of momentum and overreaction effect in Indian stock market.