Time-Series and Cross-Sectional Momentum in Indian Stock Market

• Autorzy: Simarjeet Singh , Nidhi Walia
• Języki publikacji: EN

Abstrakty

EN

Present study documents the significant time-series and cross-sectional momentum profits in Indian stock market. These profits remain significant even after adjusting market, size and value factors. Further time-series momentum effect remains significant when we hold securities for longer period signalling that time-series momentum do not reverse in the long run. When we compare the performances of time series and cross-sectional momentum payoffs, we find that time-series momentum strategies generate superior returns than cross-sectional momentum strategies and net long investments in time-series momentum strategies is the main source of difference between the performances of these two approaches. (original abstract)

Słowa kluczowe

PL

Giełda papierów wartościowych; Szeregi czasowe; Analiza szeregów czasowych; Zyski kapitałowe; Inwestycje długoterminowe

EN

Stock market; Time-series; Time-series analysis; Capital gains; Long-term investments

• Czasopismo: Copernican Journal of Finance & Accounting
• Rocznik: 2020
• Tom: 9
• Numer: nr 3
• Strony: 161-176

Twórcy

autor

Simarjeet Singh

• Punjabi University, India

autor

Nidhi Walia

• Punjabi University, India

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Identyfikatory

DOI

10.12775/CJFA.2020.018