Momentum effects in country equity indices

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