Australia.

This study explores a high-frequency tactical asset allocation strategy. In particular, we investigate the profitability of momentum trading strategies and contrarian investment strategies for equities listed on the Australian Stock Exchange (ASX). This paper takes into consideration the short-selling restrictions imposed by the ASX on the stocks used in these two strategies. We look at the relationship between stock returns and past trading volume for these equities within our sample portfolios. This research also investigates the seasonal aspects of contrarian portfolios and observes an April effect. We report significant contrarian profits for the period investigated and show that contrarian profit is a persistent feature for the strategies examined. We also document that contrarian portfolios earn returns as high as 6.54 % per day for portfolios with no short-selling restrictions, and 4.71 % on the restricted model. The results also support the view that volume traded affects stock returns and shows that market imperfections such as short-selling restrictions affect investors ’ return