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Time-Series And Cross-Sectional Momentum In Indian Stock Market

Author

Listed:
  • Simarjeet Singh
  • Nidhi Walia

    (Punjabi University, India
    Punjabi University, India)

Abstract

Present study documents the significant time-series and cross-sectional momentum profits in Indian stock market. These profits remain significant even after adjusting market, size and value factors. Further time-series momentum effect remains significant when we hold securities for longer period signalling that time-series momentum do not reverse in the long run. When we compare the performances of time series and cross-sectional momentum payoffs, we find that time-series momentum strategies generate superior returns than cross-sectional momentum strategies and net long investments in time-series momentum strategies is the main source of difference between the performances of these two approaches.

Suggested Citation

  • Simarjeet Singh & Nidhi Walia, 2020. "Time-Series And Cross-Sectional Momentum In Indian Stock Market," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 161-176.
    • Handle: RePEc:cpn:umkcjf:v:9:y:2020:i:3:p:161-176
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    References listed on IDEAS

    as
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