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Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock

Author

Listed:
  • Boryana Bogdanova

    (Sofia University St. Kliment Ohridski, Faculty of Economics and Business Administration)

  • Bozhidar Nedev

    (Sofia University St. Kliment Ohridski, Faculty of Economics and Business Administration)

Abstract

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.

Suggested Citation

  • Boryana Bogdanova & Bozhidar Nedev, 2017. "Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock," Bulgarian Economic Papers bep-2017-11, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Dec 2017.
    • Handle: RePEc:sko:wpaper:bep-2017-11
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    File URL: https://www.uni-sofia.bg/index.php/eng/content/download/186190/1286376/file/BEP-2017-11.pdf
    File Function: First version, 2017
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    More about this item

    Keywords

    momentum trading strategy; 2008 Financial crisis; wavelet spectrum; frontier stock markets;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G40 - Financial Economics - - Behavioral Finance - - - General

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