Momentum analysis of DJI stocks near sharp rise, crash, and consolidation

Hui Wang and R.B. Pandey

Physica A: Statistical Mechanics and its Applications, 2004, vol. 334, issue 3, 524-530

Abstract: Using a momentum trading approach, Dow Jones Industrial stocks are analyzed on an yearly basis for trade execution during the rise, crash, and consolidation period (1999–2001) of the stock market. While the anomalous trend in some of the volatile sectors are seen (i.e., the Microsoft in year 2000), the probability of high return is considerably high with appropriate choices of trading threshold for short-to-long-term momentum trading.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:334:y:2004:i:3:p:524-530

DOI: 10.1016/j.physa.2003.10.048

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