Seasonality and momentum across national equity markets

Jian Song and Ronald Balvers

The North American Journal of Economics and Finance, 2022, vol. 61, issue C

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)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000584

DOI: 10.1016/j.najef.2022.101706

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