IDEAS home Printed from https://ideas.repec.org/a/rbs/ijbrss/v14y2025i2p205-216.html

Holding momentum on the Johannesburg Stock Exchange

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://ssbfnet.com/ojs/index.php/ijrbs/article/view/3917/2705
    Download Restriction: no
    File URL: https://doi.org/10.20525/ijrbs.v14i2.3917
    Download Restriction: no
    File URL: https://libkey.io/10.20525/ijrbs.v14i2.3917?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. P.L. la Grange & J.D. Krige, 2015. "Profitability of Momentum Strategies on the JSE," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 39(3), pages 49-66, December.
    2. Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje, 2012. "Time series momentum," Journal of Financial Economics, Elsevier, vol. 104(2), pages 228-250.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Xu, Dezhong & Li, Bin & Singh, Tarlok & Chen, Xiaoyue & Li, Jinze, 2025. "Cross-market overnight time-series momentum," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 105(C).
    2. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
    3. Kwon, Oh Kang & Satchell, Stephen, 2018. "The distribution of cross sectional momentum returns," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 225-241.
    4. repec:esx:essedp:770 is not listed on IDEAS
    5. Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    6. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
    7. Yang, Haijun & Ge, Hengshun & Gao, Xinpeng, 2022. "An information diffusion model for momentum effect based on investor wealth," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    8. Hendershott, Terrence & Livdan, Dmitry & Rösch, Dominik, 2020. "Asset pricing: A tale of night and day," Journal of Financial Economics, Elsevier, vol. 138(3), pages 635-662.
    9. L. Lin & M. Schatz & D. Sornette, 2019. "A simple mechanism for financial bubbles: time-varying momentum horizon," Quantitative Finance, Taylor & Francis Journals, vol. 19(6), pages 937-959, June.
    10. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
    11. Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury, revised 08 Mar 2021.
    12. He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022. "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 125-149.
    13. He, Chaohua & Jiang, Cheng & Molyboga, Marat, 2019. "Risk premia in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
    14. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
    15. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
    16. Sihvonen, Markus, 2021. "Yield curve momentum," Research Discussion Papers 15/2021, Bank of Finland.
    17. Mohamed Sahbi Nakhli & Abderrazak Dhaoui & Julien Chevallier, 2022. "Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors," Annals of Finance, Springer, vol. 18(2), pages 267-283, June.
    18. Yuan, Xianghui & Li, Xiang, 2022. "Delta-hedging demand and intraday momentum: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    19. Lin, Chaonan & Chen, Hong-Yi & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2021. "Time-dependent lottery preference and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 272-294.
    20. Hubert Dichtl, 2020. "Investing in the S&P 500 index: Can anything beat the buy‐and‐hold strategy?," Review of Financial Economics, John Wiley & Sons, vol. 38(2), pages 352-378, April.
    21. Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2017. "Time series momentum and moving average trading rules," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 405-421, March.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rbs:ijbrss:v:14:y:2025:i:2:p:205-216. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Umit Hacioglu (email available below). General contact details of provider: https://edirc.repec.org/data/ssbffea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.