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Momentum in global equity markets in times of troubles: Does the economic state matter?

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  • Grobys, Klaus

Abstract

This paper investigates the profitability of momentum-based trading strategies pursued during the most recent economic downturns in global equity markets. In contrast to previous studies, it reveals that such strategies generated statistically significant negative returns during the most recent recessions. These “momentum crashes” happen during market reversals following exceptionally large market declines, as occurred in March and April 2009.

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  • Grobys, Klaus, 2014. "Momentum in global equity markets in times of troubles: Does the economic state matter?," Economics Letters, Elsevier, vol. 123(1), pages 100-103.
    • Handle: RePEc:eee:ecolet:v:123:y:2014:i:1:p:100-103
    DOI: 10.1016/j.econlet.2014.01.028
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    References listed on IDEAS

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    5. Novy-Marx, Robert, 2012. "Is momentum really momentum?," Journal of Financial Economics, Elsevier, vol. 103(3), pages 429-453.
    6. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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    Citations

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    Cited by:

    1. Georgios A. Papanastasopoulos, 2019. "Bloated balance sheets and stock returns: Asymmetries between profit and loss firms," Economics and Business Letters, Oviedo University Press, vol. 8(1), pages 53-61.
    2. Yao, Shouyu & Qin, Yuanyuan & Cheng, Feiyang & Wu, Ji(George) & Goodell, John.W., 2022. "Missing momentum in China: Considering individual investor preference," Finance Research Letters, Elsevier, vol. 49(C).
    3. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
    4. Papanastasopoulos, Georgios A., 2017. "Asset growth anomaly in Europe: Do profits and losses matter?," Economics Letters, Elsevier, vol. 156(C), pages 106-109.
    5. Grobys, Klaus & Heinonen, Jari-Pekka, 2016. "Is there a credit risk anomaly in FX markets?," Finance Research Letters, Elsevier, vol. 18(C), pages 1-6.
    6. Nikolaos Stoupos & Apostolos Kiohos, 2021. "BREXIT referendum’s impact on the financial markets in the UK," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(1), pages 1-19, February.

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    More about this item

    Keywords

    Momentum; Global equity markets; International stock indices; Business cycle;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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