Global momentum: The optimal trading approach

Alain Wouassom, Gulnur Muradoglu, Nicholas Tsitsianis

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We investigate momentum strategies in international equity markets. International investors that switch back and forth from one country to the other based on their previous performances can earn more than 2.53% percent per month or 35% per year and momentum effect is substantially strong in emerging markets with returns up to 2.41% per month or 33% per annum. For the international investor, we identify world risk factors, to our knowledge, first time in the literature. We find that higher profits for international momentum portfolios are mainly due to predictability from world macroeconomic risk factors. Notably, the results confirm the informational role of world industrial
production.


Original languageEnglish
Article number100756
Number of pages18
JournalJournal of Behavioral and Experimental Finance
Volume36
Early online date13 Sept 2022
DOIs
Publication statusPublished - Dec 2022

ASJC Scopus subject areas

  • Finance

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