Description

• Title:
  TIME-SERIES AND CROSS-SECTIONAL MOMENTUM IN INDIAN STOCK MARKET
• Creator:
  Singh, Simarjeet;
  Walia, Nidhi
• Description:
  Present study documents the significant time-series and cross-sectional momentum profits in Indian stock market. These profits remain significant even after adjusting market, size and value factors. Further time-series momentum effect remains significant when we hold securities for longer period signalling that time-series momentum do not reverse in the long run. When we compare the performances of time series and cross-sectional momentum payoffs, we find that time-series momentum strategies generate superior returns than cross-sectional momentum strategies and net long investments in time-series momentum strategies is the main source of difference between the performances of these two approaches.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2021 Copernican Journal of Finance & Accounting
• Date:
  2021.02.27
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Copernican Journal of Finance & Accounting; Vol. 9 No. 3 (2020); 161-176;
  Copernican Journal of Finance & Accounting; Tom 9 Nr 3 (2020); 161-176;
  2300-3065;
  2300-1240
• Format:
  application/pdf
• Publisher:
  Uniwersytet Mikołaja Kopernika w Toruniu
• Relation: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.018/28350
• Subject:
  cross-sectional momentum;
  time-series momentum;
  Indian stock market;
  G11;
  G12
• Identifier: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.018
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text