International momentum effects: a reappraisal of empirical evidence
Ming-Shiun Pan and
L. Paul Hsueh
Applied Financial Economics, 2007, vol. 17, issue 17, 1409-1420
This article examines profits from momentum strategies when applied to national stock market indexes. The empirical results based on the stock market indexes of 12 European countries and the United States show significant momentum profits. However, our analysis also suggests that the international momentum effect may simply be an empirical illusion due to the use of overlapping data. Specifically, the international momentum effect disappears when the analysis is conducted on nonoverlapping data. Our analysis shows that the international momentum effect, if exists, is mainly driven by national stock market indexes' return autocovariances. However, we find no or little evidence of significant serial correlations in returns for each of the stock market indexes, thereby leading further support to the finding that international momentum effects may not exist.
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:17:y:2007:i:17:p:1409-1420
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().