IDEAS home Printed from https://ideas.repec.org/a/eee/jimfin/v148y2024ics0261560624001578.html
   My bibliography  Save this article

Cross-momentum strategies in the equity futures and currency markets

Author

Listed:
  • Iwanaga, Yasuhiro
  • Sakemoto, Ryuta

Abstract

This study focuses on two of the most liquid assets—currencies and international equity futures indices—and investigates whether cross-momentum enhances momentum portfolios. We uncover that a combination of equity futures and currency portfolios sorted by cross-momentum outperforms a combination of those sorted by normal-momentum. The change in the Sharpe ratio is 0.32 and the economic gain based on the performance fee measure differs by 4.11% per annum. Moreover, we observe that the cross-momentum strategy is more strongly associated with commodity exporting countries. This stems from the positive relationship between equity futures and macroeconomic conditions for commodity exporting countries.

Suggested Citation

  • Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2024. "Cross-momentum strategies in the equity futures and currency markets," Journal of International Money and Finance, Elsevier, vol. 148(C).
  • Handle: RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001578
    DOI: 10.1016/j.jimonfin.2024.103170
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0261560624001578
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.jimonfin.2024.103170?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001578. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.