Does Momentum Investing Work in Indian Equities?

11 Pages Posted: 25 Jun 2020

Date Written: May 30, 2020

Abstract

The purpose of this paper is to examine the existence and persistence of momentum, “the premier anomaly” according to Eugene Fama, as a source of out-performance in the Indian equity markets. We test a set of relative-strength strategies on twenty years of Indian equity markets data to validate whether momentum offers higher returns than a Buy and Hold approach. We add signals to the traditional momentum application to evaluate the impact on returns, volatility and draw-downs.

Keywords: Momentum Investing, Indian Equities, Trend Following

JEL Classification: C00, C10, C50, G00, G11

Suggested Citation

Vijaykumar, Anoop, Does Momentum Investing Work in Indian Equities? (May 30, 2020). Available at SSRN: https://ssrn.com/abstract=3614509 or http://dx.doi.org/10.2139/ssrn.3614509

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