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International industry momentum

Author

Listed:
  • L Swinkels

    (and CentER, Tilburg University)

Abstract

There is ample empirical evidence that the existence of return continuation at the individual stock level for the six-month horizon is not confined to US stock markets. Recently, papers have investigated the existence of this momentum effect on US industry indices. This paper examines the profitability of momentum strategies for the US, Europe and Japan using the Datastream industry classification. These findings provide further evidence in favour of the existence of industry momentum for the US and Europe. For the Japanese stock market, there is little support for the industry momentum effect, which is not surprising, since other studies claim that there is no return continuation when Japanese stocks are investigated individually. In addition, the lead-lag relation between these three regions is examined. In particular, our results confirm the leading position of the US relative to Europe on the one-year horizon, while Europe leads Japan on this horizon. Using this cross-border information may enhance trading strategies trying to exploit the momentum effect in Europe and Japan.

Suggested Citation

  • L Swinkels, 2002. "International industry momentum," Journal of Asset Management, Palgrave Macmillan, vol. 3(2), pages 124-141, September.
    • Handle: RePEc:pal:assmgt:v:3:y:2002:i:2:d:10.1057_palgrave.jam.2240071
    DOI: 10.1057/palgrave.jam.2240071
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    Citations

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    Cited by:

    1. Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013. "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 127-148, June.
    2. Tariq Haque, 2009. "Switching Between the Banking and Metals and Mining Sectors of Australia," International Review of Finance, International Review of Finance Ltd., vol. 9(4), pages 387-403, December.
    3. Gupta, Kartick & Locke, Stuart & Scrimgeour, Frank, 2010. "International comparison of returns from conventional, industrial and 52-week high momentum strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 423-435, October.
    4. Liu, Ming & Liu, Qianqiu & Ma, Tongshu, 2011. "The 52-week high momentum strategy in international stock markets," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 180-204, February.
    5. Sina Badreddine & Ephraim Clark, 2021. "The asymmetric effects of industry specific volatility in momentum returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6444-6458, October.
    6. Hannah Lea Hühn & Hendrik Scholz, 2018. "Alpha Momentum and Price Momentum," IJFS, MDPI, vol. 6(2), pages 1-28, May.
    7. Yeng May Tan & Fan Fah Cheng, 2019. "Industry- and liquidity-based momentum in Australian equities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-18, December.
    8. Muhammad M Islam & Lawrence Gomes, 2011. "Momentum change, industry group rotation and portfolio returns," Journal of Asset Management, Palgrave Macmillan, vol. 12(6), pages 426-437, December.
    9. Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco, 2014. "Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 58-77.

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