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This paper primarily focuses on international stocks return continuation within seven Central and Eastern Europe countries' markets: Poland, Slovenia, Hungary, Lithuania, Croatia, Estonia, and Latvia markets. Using sample of approximately 530 socks and period of January 2002 - December 2006 the paper reveals that stock exchange markets in Central and Eastern Europe exhibit return continuation when using three-, six-, nine- and twelve month momentum strategies. Return continuation is present in all seven sample countries with exception of Poland. In Poland, because of more severe reaction to joining the EU, the twelve month formation period appeared to be of less predictable power about future returns. Consistently with previous research, the six-month momentum strategy appeared to have the strongest power of predictability. [ABSTRACT FROM AUTHOR]