Copernican Journal of Finance & Accounting (Feb 2021)
TIME-SERIES AND CROSS-SECTIONAL MOMENTUM IN INDIAN STOCK MARKET
Abstract
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.
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