Profitability of Momentum Stragegies in theInternational Equity Markets

Abstract

This paper examines the profitability of momentumstrategies implemented on international stock marketindices. Our results indicate statiscallysignificant evidence of momentum profits. Themomentum profits arise mainly from time-seriespredictability in stock market indices—very littleprofit comes from predictability in the currencymarkets. We also find higher profits for momentumportfolios implemented on markets with higher volumein the previous period, indicating that returncontinuation is stronger following an increase intrading volume. This result confirms theinformational role of volume and its applicabilityin technical analysis.