Momentum in Global Equity Markets in Times of Troubles: Does the Economic State Matter?

Posted: 15 Jan 2015 Last revised: 16 Oct 2015

See all articles by Klaus Grobys

Klaus Grobys

University of Vaasa; University of Jyväskyla

Date Written: January 20, 2014

Abstract

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

Suggested Citation

Grobys, Klaus, Momentum in Global Equity Markets in Times of Troubles: Does the Economic State Matter? (January 20, 2014). Economics Letters, Vol. 123, 2014, Available at SSRN: https://ssrn.com/abstract=2547531

Klaus Grobys (Contact Author)

University of Vaasa ( email )

P.O. Box 700
Wolffintie 34
FIN-65101 Vaasa
Finland

University of Jyväskyla ( email )

Jyväskyla
Finland

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