dc.contributor.author |
Muller, C.
|
|
dc.contributor.author |
Ward, Michael
|
|
dc.date.accessioned |
2010-05-28T11:17:30Z |
|
dc.date.available |
2010-05-28T11:17:30Z |
|
dc.date.issued |
2010-04 |
|
dc.description.abstract |
This paper examines the 70 country indices which comprise the MSCI world index as a representative set of global equity investment opportunities, and examines momentum and mean reversion effects in these. We show that persistent and significant effects do exist, particularly with regard to short-term momentum. A strategy of holding for one month, a portfolio of the four best performing MSCI country indices over the previous 11 months, was found to persistently out-perform an equal weighted benchmark by around 10% per annum over the 39 year period from 1970 to 2009. |
en |
dc.identifier.citation |
Muller, C & Ward, M 2010, 'Momentum effects in country equity indices', Studies in Economics and Econometrics, vol. 34, no. 1, pp. 111-127. [http://www.journals.co.za/ej/ejour_bersee.html] |
en |
dc.identifier.issn |
0379-6205 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/14149 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch |
en_US |
dc.rights |
Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch |
en_US |
dc.subject |
Country equity indices |
en |
dc.subject |
MSCI world index |
en |
dc.title |
Momentum effects in country equity indices |
en |
dc.type |
Article |
en |