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Time-Series Momentum Trading Strategies in the Global Stock Market

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  • Gagari Chakrabarti

Abstract

In recent years, the presence of abnormal profits in stock markets has been empirically validated, thereby putting the Efficient Market Hypothesis on trial; and the assertion that the market knows everything or the market cannot be beaten has been proven to be a myth. With the presence of profitable trading rules in stock markets, speculation becomes a common phenomenon making the financial system intrinsically instable, vulnerable to shocks, and prone to crashes. This study, while exploring the presence of profitable trading rules in the global market in recent years, finds that developed countries’ submarkets are more vulnerable to speculating activities

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  • Gagari Chakrabarti, 2015. "Time-Series Momentum Trading Strategies in the Global Stock Market," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 50(2), pages 80-90, April.
    • Handle: RePEc:pal:buseco:v:50:y:2015:i:2:p:80-90
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    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 309-318.
    2. Vo, Xuan Vinh & Truong, Quang Binh, 2018. "Does momentum work? Evidence from Vietnam stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 17(C), pages 10-15.
    3. Yafeng Qin & Guoyao Pan & Min Bai, 2020. "Improving market timing of time series momentum in the Chinese stock market," Applied Economics, Taylor & Francis Journals, vol. 52(43), pages 4711-4725, September.
    4. Ruan, Yong-Ping & Song, Xin & Zheng, Kai, 2018. "Do large shareholders collude with institutional investors? Based on the data of the private placement of listed companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 242-253.

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