Trade momentum

Savina Rizova

Journal of International Financial Markets, Institutions and Money, 2013, vol. 24, issue C, 258-293

Abstract: This paper shows that although stock market movements of a country's trading partners contain information about future trade flows with those partners, the stock market of the country does not react immediately and fully to the partners’ stock market movements. Stock market returns of a country's major trading partners forecast the subsequent stock market return of that country. Strategies based on trade momentum yield monthly alphas of over 120 basis points. Trade momentum appears consistent with gradual information diffusion.

Keywords: Cross-country return predictability; Trade flows; Efficient markets hypothesis; Gradual; Information diffusion (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:24:y:2013:i:c:p:258-293

DOI: 10.1016/j.intfin.2012.11.008

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