Muller, C.Ward, Michael2010-05-282010-05-282010-04Muller, 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]0379-6205http://hdl.handle.net/2263/14149This 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.enBureau for Economic Research and the Graduate School of Business, University of StellenboschCountry equity indicesMSCI world indexArticle