This study intends to investigate the momentum effect, which states that shareswhich performed the best (worst) over the previous three to twelve months continueto perform well (poorly) over the subsequent three to twelve months. Evidence suggests that a strategy that buys previous winner shares...

The aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the London stock market has employed three different...