TIME-SERIES AND CROSS-SECTIONAL MOMENTUM IN INDIAN STOCK MARKET

Simarjeet Singh and Nidhi Walia ()
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Nidhi Walia: Punjabi University, India

Copernican Journal of Finance & Accounting, 2020, vol. 9, issue 3, 161-176

Abstract: Present study documents the significant time-series and cross-sectional momentum profits in Indian stock market. These profits remain significant even after adjusting market, size and value factors. Further time-series momentum effect remains significant when we hold securities for longer period signalling that time-series momentum do not reverse in the long run. When we compare the performances of time series and cross-sectional momentum payoffs, we find that time-series momentum strategies generate superior returns than cross-sectional momentum strategies and net long investments in time-series momentum strategies is the main source of difference between the performances of these two approaches.

Keywords: cross-sectional momentum; time-series momentum; Indian stock market (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkcjf:v:9:y:2020:i:3:p:161-176

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