Momentum in global equity markets in times of troubles: Does the economic state matter?

Klaus Grobys

Economics Letters, 2014, vol. 123, issue 1, 100-103

Abstract: This paper investigates the profitability of momentum-based trading strategies pursued during the most recent economic downturns in global equity markets. In contrast to previous studies, it reveals that such strategies generated statistically significant negative returns during the most recent recessions. These “momentum crashes” happen during market reversals following exceptionally large market declines, as occurred in March and April 2009.

Keywords: Momentum; Global equity markets; International stock indices; Business cycle (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:1:p:100-103

DOI: 10.1016/j.econlet.2014.01.028

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