International industry momentum

Laurens Swinkels

Journal of Asset Management, 2002, vol. 3, issue 2, No 4, 124-141

Abstract: Abstract There is ample empirical evidence that the existence of return continuation at the individual stock level for the six-month horizon is not confined to US stock markets. Recently, papers have investigated the existence of this momentum effect on US industry indices. This paper examines the profitability of momentum strategies for the US, Europe and Japan using the Datastream industry classification. These findings provide further evidence in favour of the existence of industry momentum for the US and Europe. For the Japanese stock market, there is little support for the industry momentum effect, which is not surprising, since other studies claim that there is no return continuation when Japanese stocks are investigated individually. In addition, the lead-lag relation between these three regions is examined. In particular, our results confirm the leading position of the US relative to Europe on the one-year horizon, while Europe leads Japan on this horizon. Using this cross-border information may enhance trading strategies trying to exploit the momentum effect in Europe and Japan.

Keywords: industry effects; international investing; momentum strategies; portfolio management (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240071 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:3:y:2002:i:2:d:10.1057_palgrave.jam.2240071

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240071

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().