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Momentum and mean reversion across national equity markets

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Cited by:

  1. Serban, Alina F., 2010. "Combining mean reversion and momentum trading strategies in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2720-2727, November.
  2. Fredj Jawadi & Georges Prat, 2012. "Arbitrage costs and nonlinear adjustment in the G7 stock markets," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1561-1582, April.
  3. Song, Jian & Balvers, Ronald J., 2022. "Seasonality and momentum across national equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  4. Du, Ding, 2008. "The 52-week high and momentum investing in international stock indexes," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 61-77, February.
  5. Zaremba, Adam & Umutlu, Mehmet & Maydybura, Alina, 2020. "Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns," Journal of Banking & Finance, Elsevier, vol. 121(C).
  6. Patro, Dilip K. & Wu, Yangru, 2004. "Predictability of short-horizon returns in international equity markets," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 553-584, September.
  7. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  8. repec:wvu:wpaper:09-14 is not listed on IDEAS
  9. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  10. Zaremba, Adam & Kizys, Renatas & Tzouvanas, Panagiotis & Aharon, David Y. & Demir, Ender, 2021. "The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  11. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
  12. Ding Du & Ou Hu, 2020. "Why does stock-market investor sentiment influence corporate investment?," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1221-1246, May.
  13. Kobana Abukari & Isaac Otchere, 2020. "Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 471-505, December.
  14. Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas, 2019. "Alpha momentum and alpha reversal in country and industry equity indexes," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 144-161.
  15. José Eduardo Gómez-González & Andrés F. García-Suaza, 2012. "A Simple Test of Momentum in Foreign Exchange Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(5), pages 66-77, September.
  16. Malin, Mirela & Bornholt, Graham, 2010. "Predictability of future index returns based on the 52-week high strategy," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 501-508, November.
  17. Omar Gharaibeh, 2017. "Strong and Weak Price Momentum Components: Evidence from 10 Arabic Market Indices," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(1), pages 151-161, January.
  18. Alves, Paulo & Carvalho, Luís, 2020. "Recent evidence on international stock market’s overreaction," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  19. Morelli, David, 2014. "Momentum profits and conditional time-varying systematic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 242-255.
  20. Huang, Dayong, 2006. "Market states and international momentum strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 437-446, July.
  21. Balvers, Ronald J. & Mitchell, Douglas W., 2007. "Reducing the dimensionality of linear quadratic control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 141-159, January.
  22. Martin Vance L. & Sarkar Saikat & Kanto Antti Jaakko, 2014. "Modelling nonlinearities in equity returns: the mean impact curve analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 51-72, February.
  23. Condorelli, Stefano, 2018. "Price momentum and the 1719-20 bubbles: A method to compare and interpret booms and crashes in asset markets," MPRA Paper 89888, University Library of Munich, Germany.
  24. Bernd Scherer & Diogo Judice & Stephan Kessler, 2010. "Price reversals in global equity markets," Journal of Asset Management, Palgrave Macmillan, vol. 11(5), pages 332-345, December.
  25. Zaremba, Adam & Cakici, Nusret & Demir, Ender & Long, Huaigang, 2022. "When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns," Journal of Financial Stability, Elsevier, vol. 58(C).
  26. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
  27. Shen, Qian & Szakmary, Andrew C. & Sharma, Subhash C., 2005. "Momentum and contrarian strategies in international stock markets: Further evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 235-255, July.
  28. Alina Synyavska & Numan Ülkü, 2015. "'Leverage Effect' in country betas and volatilities?," Applied Economics Letters, Taylor & Francis Journals, vol. 22(11), pages 848-853, July.
  29. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015. "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 19-34.
  30. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  31. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
  32. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  33. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
  34. Kim, Byungoh & Suh, Sangwon, 2018. "Sentiment-based momentum strategy," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 52-68.
  35. Giner, Javier & Zakamulin, Valeriy, 2023. "A regime-switching model of stock returns with momentum and mean reversion," Economic Modelling, Elsevier, vol. 122(C).
  36. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
  37. He, Xue-Zhong & Li, Kai & Li, Youwei, 2018. "Asset allocation with time series momentum and reversal," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 441-457.
  38. Malin, Mirela & Bornholt, Graham, 2013. "Long-term return reversal: Evidence from international market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 1-17.
  39. Adam Zaremba, 2016. "Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-103, March.
  40. Zaremba, Adam & Szyszka, Adam & Karathanasopoulos, Andreas & Mikutowski, Mateusz, 2021. "Herding for profits: Market breadth and the cross-section of global equity returns," Economic Modelling, Elsevier, vol. 97(C), pages 348-364.
  41. Wouassom, Alain & Muradoğlu, Yaz Gülnur & Tsitsianis, Nicholas, 2022. "Global momentum: The optimal trading approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  42. Zhao, Xiaojun & Ji, Mengfan & Zhang, Na & Shang, Pengjian, 2020. "Permutation transition entropy: Measuring the dynamical complexity of financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  43. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  44. Zaremba, Adam & Kizys, Renatas & Raza, Muhammad Wajid, 2020. "The long-run reversal in the long run: Insights from two centuries of international equity returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 177-199.
  45. Lu, Yang-Cheng & Chang, Tsangyao & Hung, Ken & Liu, Wen-Chi, 2010. "Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2019-2025.
  46. Zaremba, Adam, 2017. "Performance persistence of government bond factor premia," Finance Research Letters, Elsevier, vol. 22(C), pages 182-189.
  47. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014.
  48. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
  49. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
  50. Duan, Jin-Chuan, 2016. "Local-momentum autoregression and the modeling of interest rate term structure," Journal of Econometrics, Elsevier, vol. 194(2), pages 349-359.
  51. Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW Kiel).
  52. Zaremba, Adam & Andreu, Laura, 2018. "Paper profits or real money? Trading costs and stock market anomalies in country ETFs," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 181-192.
  53. Zaremba, Adam & Umutlu, Mehmet, 2018. "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 1-18.
  54. Yangru Wu, 2004. "Momentum Trading, Mean Reveral and Overration in Chinese Stock Market," Working Papers 232004, Hong Kong Institute for Monetary Research.
  55. Hu, Ou, 2006. "Common and country-specific components in national stock prices," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 509-519, December.
  56. Huynh, Thanh D., 2017. "Conditional asset pricing in international equity markets," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 168-189.
  57. Kobinger, Sonja & Bornholt, Graham & Malin, Mirela, 2020. "Long-term time series reversal: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  58. Guochen Pan & Seng-Sung Chen & Tsangyao Chang, 2012. "Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 56-67, December.
  59. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R. & Szakmary, Andrew C., 2017. "Emerging markets: Is the trend still your friend?," Global Finance Journal, Elsevier, vol. 32(C), pages 128-148.
  60. Benali Mimoun & Lahboub Karima & Moufdi Ghada, 2022. "Feasible Momentum Strategies in the Moroccan Stock Market," Proceedings of Economics and Finance Conferences 13215690, International Institute of Social and Economic Sciences.
  61. Muhammad Kashif & Sanyah Saad & Imran Umer Chhapra & Farhan Ahmed, 2018. "An Empirical Evidence of Over Reaction Hypothesis on Karachi Stock Exchange (KSE)," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(4), pages 449-465, April.
  62. Hyeongwoo Kim & Liliana Stern & Michael Stern, 2009. "Nonlinear mean reversion in the G7 stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(5), pages 347-355.
  63. L.J. Basson & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 84-95, March.
  64. Zaremba, Adam & Szyszka, Adam & Long, Huaigang & Zawadka, Dariusz, 2020. "Business sentiment and the cross-section of global equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  65. Adam Zaremba, 2017. "Combining Equity Country Selection Strategies," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 11(1), March.
  66. Thiago Christiano Silva & Benjamin Miranda Tabak & Idamar Magalhães Ferreira, 2019. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies," Complexity, Hindawi, vol. 2019, pages 1-14, December.
  67. Sangwon Suh, 2021. "A Filtering Strategy for Improving Charateristics-Based Portfolios," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 46(2), pages 119-153, June.
  68. Kartick Gupta & Stuart Locke & Frank Scrimgeour, 2013. "Profitability of momentum returns under alternative approaches," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 9(3), pages 219-246, June.
  69. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2015. "Combining momentum with reversal in commodity futures," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 423-444.
  70. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.
  71. Adam Zaremba, 2015. "The January seasonality and the performance of country-level value and momentum strategies," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 195-209.
  72. Houda BenMabrouk & Ismahen Souayeh, 2021. "Momentum profits: Fundamentals or time varying unsystematic risk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 777-789, January.
  73. Xue-Zhong He & Kai Li & Youwei Li, 2015. "Optimal Time Series Momentum," Research Paper Series 353, Quantitative Finance Research Centre, University of Technology, Sydney.
  74. Du, Ding & Huang, Zhaodan & Liao, Bih-shuang, 2009. "Why is there no momentum in the Taiwan stock market?," Journal of Economics and Business, Elsevier, vol. 61(2), pages 140-152.
  75. Wang, Jun & Wu, Yangru, 2011. "Risk adjustment and momentum sources," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1427-1435, June.
  76. Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
  77. Mirela Malin & Graham Bornholt, 2010. "Enhancing Contrarian Strategies: Evidence from Developed Markets Indices," Discussion Papers in Finance finance:201001, Griffith University, Department of Accounting, Finance and Economics.
  78. Adam Zaremba, 2018. "Country Risk and Expected Returns Across Global Equity Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(4), pages 374-398, September.
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