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Industry Momentum at the End of the 20th Century

Author

Listed:
  • Christos I. Giannikos

    (Zicklin School of Business, Baruch College, The City University of New York, U.S.A.)

  • Xiuqing Ji

    (Zicklin School of Business, Baruch College, The City University of New York, U.S.A.)

Abstract

Previous studies are conflicting as to whether industry momentum can explain stock momentum. We revisit this issue using a large dataset covering the US and 37 international countries. The results indicate that industry momentum earns significant profits worldwide and the profits are larger in January than in non-January months. Furthermore, analyzing portfolios generated from two-way sort provides evidence that industry and individual stock momentum are independent of each other.

Suggested Citation

  • Christos I. Giannikos & Xiuqing Ji, 2007. "Industry Momentum at the End of the 20th Century," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(1), pages 29-46, April.
  • Handle: RePEc:ijb:journl:v:6:y:2007:i:1:p:29-46
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    References listed on IDEAS

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    1. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    2. John M. Griffin & Xiuqing Ji & J. Spencer Martin, 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole," Journal of Finance, American Finance Association, vol. 58(6), pages 2515-2547, December.
    3. Tarun Chordia & Lakshmanan Shivakumar, 2002. "Momentum, Business Cycle, and Time-varying Expected Returns," Journal of Finance, American Finance Association, vol. 57(2), pages 985-1019, April.
    4. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Dongwei Su, 2011. "An Empirical Analysis of Industry Momentum in Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 4-27, July.
    2. Liu, Ming & Liu, Qianqiu & Ma, Tongshu, 2011. "The 52-week high momentum strategy in international stock markets," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 180-204, February.
    3. Li, Bob & Stork, Thomas & Chai, Daniel & Ee, Mong Shan & Ang, Hong Nee, 2014. "Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 19-31.
    4. Nicholas Rueilin Lee, 2012. "Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 449-468, December.
    5. Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013. "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 127-148, June.
    6. Dongwei Su, 2011. "An Empirical Analysis of Industry Momentum in Chinese Stock Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(4), pages 4-27, July.

    More about this item

    Keywords

    stock momentum; industry momentum; profitability; independence;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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