Profitability of Momentum Strategies in the International Equity Markets
This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices-very little profit co...
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| Veröffentlicht in: | Journal of financial and quantitative analysis 2000-06, Vol.35 (2), p.153-172 |
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| container_end_page | 172 |
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| container_title | Journal of financial and quantitative analysis |
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| creator | Chan, Kalok Hameed, Allaudeen Tong, Wilson |
| description | This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices-very little profit comes from predictability in the currency markets. We also find higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis. |
| doi_str_mv | 10.2307/2676188 |
| format | Article |
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Stern School of Business</publisher><subject>Certificates of deposit ; Emerging markets ; Exchange rates ; Financial portfolios ; International capital market ; International finance ; Investors ; Portfolio management ; Predictability ; Price momentum ; Profit ; Profitability ; Profits ; Regression analysis ; Securities markets ; Stock exchange ; Stock indexing ; Stock market indices ; Stock markets ; Stock prices ; Stock returns ; Studies ; Time series</subject><ispartof>Journal of financial and quantitative analysis, 2000-06, Vol.35 (2), p.153-172</ispartof><rights>Copyright 2000 School of Business Administration</rights><rights>Copyright University of Washington, School of Business Administration Jun 2000</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c395t-ed060f8b60794a409d41c29b710af750dcbe3e9969af19f058fb2a2a1e4a7f413</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/2676188$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/2676188$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,776,780,799,27903,27904,57996,58229</link.rule.ids></links><search><creatorcontrib>Chan, Kalok</creatorcontrib><creatorcontrib>Hameed, Allaudeen</creatorcontrib><creatorcontrib>Tong, Wilson</creatorcontrib><title>Profitability of Momentum Strategies in the International Equity Markets</title><title>Journal of financial and quantitative analysis</title><description>This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statistically significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices-very little profit comes from predictability in the currency markets. We also find higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis.</description><subject>Certificates of deposit</subject><subject>Emerging markets</subject><subject>Exchange rates</subject><subject>Financial portfolios</subject><subject>International capital market</subject><subject>International finance</subject><subject>Investors</subject><subject>Portfolio management</subject><subject>Predictability</subject><subject>Price momentum</subject><subject>Profit</subject><subject>Profitability</subject><subject>Profits</subject><subject>Regression analysis</subject><subject>Securities markets</subject><subject>Stock exchange</subject><subject>Stock indexing</subject><subject>Stock market indices</subject><subject>Stock markets</subject><subject>Stock prices</subject><subject>Stock returns</subject><subject>Studies</subject><subject>Time series</subject><issn>0022-1090</issn><issn>1756-6916</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2000</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp10FFLwzAQB_AgCs4pfoUgok_VS9omzaOM6QYbCupzSbuLZrbNlqQP-_aubE-CTwfH7_4cf0KuGTzwFOQjF1KwojghIyZzkQjFxCkZAXCeMFBwTi5CWAMMCxiR2Zt3xkZd2cbGHXWGLl2LXexb-h69jvhlMVDb0fiNdN5F9J2O1nW6odNtP5wstf_BGC7JmdFNwKvjHJPP5-nHZJYsXl_mk6dFUqcqjwmuQIApKgFSZToDtcpYzVUlGWgjc1jVFaaolFDaMGUgL0zFNdcMMy1NxtIxuTvkbrzb9hhi2dpQY9PoDl0fyrRQoITM9_DmD1y7fv99E0rOmBIZY0Pa_QHV3oXg0ZQbb1vtdyWDcqizPNa5l7cHuQ7R-X_ZL2_hcbA</recordid><startdate>20000601</startdate><enddate>20000601</enddate><creator>Chan, Kalok</creator><creator>Hameed, Allaudeen</creator><creator>Tong, Wilson</creator><general>University of Washington School of Business Administration and New York University Leonard N. 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| ispartof | Journal of financial and quantitative analysis, 2000-06, Vol.35 (2), p.153-172 |
| issn | 0022-1090 1756-6916 |
| language | eng |
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| source | EBSCOhost Business Source Complete; Jstor Complete Legacy; Cambridge University Press Journals Complete |
| subjects | Certificates of deposit Emerging markets Exchange rates Financial portfolios International capital market International finance Investors Portfolio management Predictability Price momentum Profit Profitability Profits Regression analysis Securities markets Stock exchange Stock indexing Stock market indices Stock markets Stock prices Stock returns Studies Time series |
| title | Profitability of Momentum Strategies in the International Equity Markets |
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