Another Look at Momentum Crashes: Momentum in the European Monetary Union

Posted: 14 Feb 2015 Last revised: 17 Oct 2015

Date Written: February 13, 2015

Abstract

This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional price momentum yielded significant positive payoffs. There is evidence of option-like behavior for strategies based on intermediate past performance. Surprisingly, there is no such evidence for the momentum strategy based on recent past performance .

Keywords: European Monetary Union, Market integration, Momentum crash, European stocks, Sovereign European Debt Crisis, Financial Crisis

JEL Classification: G12, G14

Suggested Citation

Grobys, Klaus, Another Look at Momentum Crashes: Momentum in the European Monetary Union (February 13, 2015). Applied Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2564488 or http://dx.doi.org/10.2139/ssrn.2564488

Klaus Grobys (Contact Author)

University of Vaasa ( email )

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

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