Momentum in Global Equity Markets in Times of Troubles: Does the Economic State Matter?
Posted: 15 Jan 2015 Last revised: 16 Oct 2015
Date Written: January 20, 2014
This paper investigates the profitability of momentum-based trading strategies pursued during the most recent economic downturns in global equity markets. In contrast to previous studies, it reveals that such strategies generated statistically significant negative returns during the most recent recessions. These "momentum crashes" happen during market reversals following exceptionally large market declines, as occurred in March and April 2009.
Keywords: Momentum, Global equity markets, International stock indices, Business cycle
JEL Classification: G12, G14
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