Home

Seasonality and momentum across national equity markets

Download Link
https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS1062940822000584;h=repec:eee:ecofin:v:61:y:2022:i:c:s1062940822000584
Time Added
Search
Trading Strategies
Total Downloads
0
Authors
Jian Song and Ronald J. Balvers
Abstract
This paper examines seasonality and momentum jointly across national equity markets at the index level. We find that seasonality and momentum are almost uncorrelated and appear to arise from different global or local risk factors rather than from different loadings on the same risk factors. Employing a trading strategy that integrates seasonality and momentum parametrically we confirm our conclusion about the relationship between seasonality and momentum: while the pure seasonality and momentum strategies individually generate sizable and significant returns the combination strategy significantly outperforms the pure strategies in a way that is quantitatively consistent with their lack of correlation.
Keywords
Seasonality ; Momentum ; Parametric trading strategy ; National equity markets (search for similar items in EconPapers)
Year Published
2022
Series
The North American Journal of Economics and Finance 2022 vol. 61 issue C
Rank
0.76
TOP