International Momentum Strategies and Business Cycle Risk: Evidence from Seasonal Patterns

Recent years have witnessed phenomenal growth in the number and size of index-based financial products in international financial markets. This paper employs more recent data to examine the profitability of index-based international momentum strategies. Several studies have documented that business...

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Bibliographic Details
Published in:Tai Da Guan Li Lun Cong 2012-06, Vol.22 (2), p.277
Main Authors: Hsien-Yi, Chen, Hu, Ming-Shien, 陳獻儀, 胡銘顯
Format: Article
Language:English
Subjects:
Business cycles
Portfolio management
Profitability
Seasonal variations
Stock market indexes
Online Access:Get full text
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Summary:Recent years have witnessed phenomenal growth in the number and size of index-based financial products in international financial markets. This paper employs more recent data to examine the profitability of index-based international momentum strategies. Several studies have documented that business cycles are a possible explanation for price momentum. An important difference between momentum profiting from seasonal patterns and macroeconomic variables was that the former examined the influence of business cycle risk as more direct and explicit. Using stock market index data from 39 markets between July 1992 and October 2008, we found significant profitability of international momentum trading strategies in developed markets and emerging markets. Furthermore, we had not found an obvious and consistent seasonal pattern in international momentum profit. Business cycle seemed to not play a substantial role in index-based international momentum strategies.
ISSN:1018-1601
2410-2490