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Trade momentum

  • Rizova, Savina
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    This paper shows that although stock market movements of a country's trading partners contain information about future trade flows with those partners, the stock market of the country does not react immediately and fully to the partners’ stock market movements. Stock market returns of a country's major trading partners forecast the subsequent stock market return of that country. Strategies based on trade momentum yield monthly alphas of over 120 basis points. Trade momentum appears consistent with gradual information diffusion.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1042443112001060
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    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 24 (2013)
    Issue (Month): C ()
    Pages: 258-293

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    Handle: RePEc:eee:intfin:v:24:y:2013:i:c:p:258-293
    DOI: 10.1016/j.intfin.2012.11.008
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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