Explore Whether Momentum Strategy Works in Portuguese Stock Market: Using Time-series Momentum

Yaqi Feng ； Hui Xu

《Frontiers in Economics and Management》 2卷8期 (2021/08) Pp. 347-351

https://doi.org/10.6981/FEM.202108_2(8).0050

摘要

This paper has the research aim of finding whether Momentum strategy works in Portuguese stock market. In this work, 20 stocks in Portuguese stock market during a 10-year-period (from 1st Jan 2011 to 31st March 2021) are analyzed in order to prove if momentum strategy can be used for investment decisions. Momentum strategy is a strategy which can generate significant positive return over holding periods by buying securities when they are rising and sell them when they are falling. The data was collected from the Euro next Lisbon and Yahoo Finance, based on the decision that buy well-performed stock in the past 2 months and compare the return in the forth month. Until now, there have been very limited data and research on momentum in Portuguese stock market. The result of this work may be a contribution to the investors of the Portuguese market or even the world.

關鍵字

Momentum Strategy ； Portugal ； Stock Market ； Investment

參考文獻

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Filipe, Pedro, (2009) et al. MOMENTUM and CONTRARIAN STRATEGIES in the PORTUGUESE STOCK MARKET.

Bird, Ron, et al. (2006) “Time-Series and Cross-Sectional Momentum Strategies under Alternative Implementation Strategies.” Australian Journal of Management.