Global momentum: The optimal trading approach

Alain Wouassom; Gulnur Muradoglu; Nicholas Tsitsianis

doi:10.1016/j.jbef.2022.100756

Global momentum: The optimal trading approach

Alain Wouassom
, Gulnur Muradoglu
, Nicholas Tsitsianis

Queen Mary University of London

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

289 Downloads (Pure)

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 language	English
Article number	100756
Number of pages	18
Journal	Journal of Behavioral and Experimental Finance
Volume	36
Early online date	13 Sept 2022
DOIs	https://doi.org/10.1016/j.jbef.2022.100756
Publication status	Published - Dec 2022

Bibliographical note

© 2022, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Copyright © and Moral Rights are retained by the author(s) and/ or other copyright owners. A copy can be downloaded for personal non-commercial research or study, without prior permission or charge. This item cannot be reproduced or quoted extensively from without first obtaining permission in writing from the copyright holder(s). The content must not be changed in any way or sold commercially in any format or medium without the formal permission of the copyright holders.

This document is the author’s post-print version, incorporating any revisions agreed during the peer-review process. Some differences between the published version and this version may remain and you are advised to consult the published version if you wish to cite from it.

ASJC Scopus subject areas

Finance

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10.1016/j.jbef.2022.100756

Wouassom2022AAMAccepted author manuscript, 1.64 MBLicence: CC BY-NC-ND

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title = "Global momentum: The optimal trading approach",

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. ",

author = "Alain Wouassom and Gulnur Muradoglu and Nicholas Tsitsianis",

note = "{\textcopyright} 2022, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ Copyright {\textcopyright} and Moral Rights are retained by the author(s) and/ or other copyright owners. A copy can be downloaded for personal non-commercial research or study, without prior permission or charge. This item cannot be reproduced or quoted extensively from without first obtaining permission in writing from the copyright holder(s). The content must not be changed in any way or sold commercially in any format or medium without the formal permission of the copyright holders. This document is the author{\textquoteright}s post-print version, incorporating any revisions agreed during the peer-review process. Some differences between the published version and this version may remain and you are advised to consult the published version if you wish to cite from it. ",

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N1 - © 2022, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ Copyright © and Moral Rights are retained by the author(s) and/ or other copyright owners. A copy can be downloaded for personal non-commercial research or study, without prior permission or charge. This item cannot be reproduced or quoted extensively from without first obtaining permission in writing from the copyright holder(s). The content must not be changed in any way or sold commercially in any format or medium without the formal permission of the copyright holders. This document is the author’s post-print version, incorporating any revisions agreed during the peer-review process. Some differences between the published version and this version may remain and you are advised to consult the published version if you wish to cite from it.

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Global momentum: The optimal trading approach

Abstract

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