 The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock MarketSupriya Maheshwari and Raj S. Dhankar Vision, 2017, vol. 21, issue 1, 1-12 Abstract: There is a plethora of research that suggests profitability of momentum strategies in international stock markets. The current study adds to the existing literature by exploring the same in the Indian stock market over the more recent years. In addition, the study aims to test whether the momentum strategy performs persistently and remains consistent even during financial crises periods, emphasizing on the recent global meltdown of 2008. Eight momentum strategies were investigated with different combinations of formation and holding period and the study adds convincing evidence in favour of Indian momentum profitability. Statistically as well as economically significant momentum returns were observed that remained statistically significant even after risk adjustment. However, the financial crisis induced significant changes in the Indian momentum profitability. The momentum returns were observed to be positively high during pre-crisis period that turn negative during crisis period and again reverse to generate high momentum returns during the post-crisis period. The evidence indicates non-stability of momentum profits wherein momentum strategies crash during the financial crises periods. Keywords: Momentum Strategy; Momentum Crash; 2008 Financial Crisis; Indian Stock Market; Investment Strategies (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:21:y:2017:i:1:p:1-12 Access Statistics for this article More articles in Vision |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.