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Holding momentum on the Johannesburg Stock Exchange

Author

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  • Johannes Scheepers De Beer

    (University of South Africa)

Abstract

With an observational research design, using only publicly available stock price data, this paper demonstrates that momentum extends beyond the medium term (3 to 12 months) when generating momentum profiles for individual stocks via a preset term-structure, showing as clusters of momentum. Profiling shifts the focus onto the holding period and classifies momentum cycles on the eventual outcome as mini, regular, ultra, super and hyper, depending on duration. Results show that major cycles comprise many minor cycles. Medium-term momentum or regular cycles, therefore, may consist of several mini cycles. The main finding of this paper is that there is potential to remain in active cycles for several years, thereby holding momentum. Institutional investors and portfolio managers may use momentum profiling as a secondary or supplementary tool in addition to their own proprietary models as individual momentum profiles enable discretionary entries and exits into active cycles. The custom momentum index, updated at short intervals with variable members, may give some indication of the current state of momentum in a market as an increase in index members corresponds with an increase in momentum activity. The custom index, therefore, may be useful to portfolio managers when tracking the overall momentum in a market. Key Words:Clusters; cycles; hold; momentum; profiles; profiling; term-structure

Suggested Citation

  • Johannes Scheepers De Beer, 2025. "Holding momentum on the Johannesburg Stock Exchange," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 14(2), pages 205-216, March.
    • Handle: RePEc:rbs:ijbrss:v:14:y:2025:i:2:p:205-216
    DOI: 10.20525/ijrbs.v14i2.3917
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