Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock
Boryana Bogdanova () and
Bozhidar Nedev ()
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Boryana Bogdanova: Sofia University St. Kliment Ohridski, Faculty of Economics and Business Administration
Bulgarian Economic Papers from Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski
This paper studies the momentum effect at the Bulgarian stock exchange in terms of its temporal structure for a period spanning from Jan-2004 to Jul-2017. Our aim is to reveal insights on the changes that took place with the beginning of the 2008 Financial crisis. The application of continuous wavelet analysis allows us to gain an in-depth knowledge on the cyclical patterns of the times series of raw profits on momentum trading strategy. This enables us to carry on further analysis aimed at identifying the drivers behind the phenomenon of significant momentum raw profits and the observed breaks during and after the crisis. Our findings contribute mainly to the process of delivering thorough understanding of the momentum effect from an empirical as well as from a behavioral perspective.
Keywords: momentum trading strategy; 2008 Financial crisis; wavelet spectrum; frontier stock markets (search for similar items in EconPapers)
JEL-codes: C32 G11 G14 G17 G40 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2017-12, Revised 2017-12
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Persistent link: https://EconPapers.repec.org/RePEc:sko:wpaper:bep-2017-11
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