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 |