  We test the price momentum effect in the Korean stock markets under the
momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of
the momentum strategy is not homogeneous with respect to change of the momentum
universe. It is found that some submarkets generate the higher momentum returns
than other universes do but large-size companies such as the KOSPI 50
components hinder the performance of the momentum strategy. The observation is
also cross-checked with size portfolios and liquidity portfolios. Transactions
by investor groups, in particular, the trading patterns by foreign investors
can be a source of the momentum universe shrinkage effect in the momentum
returns.
