Momentum Effects in Country Equity Indices

C Muller and M Ward

Studies in Economics and Econometrics, 2010, vol. 34, issue 1, 111-127

Abstract: This paper examines the 70 country indices which comprise the MSCI world index as a representative set of global equity investment opportunities, and examines momentum and mean-reversion effects in these. We show that persistent and significant effects do exist, particularly with regard to short-term momentum. A strategy of holding for one month, a portfolio of the four best performing MSCI country indices over the previous 11 months, was found to persistently out-perform an equal weighted benchmark by around 10% per annum over the 39 year period from 1970 to 2009.

Date: 2010
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DOI: 10.1080/03796205.2010.12129444

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