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Μόνιμο URI για αυτήν τη συλλογήhttps://pyxida.aueb.gr/handle/123456789/63

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Πλοήγηση Διδακτορικές διατριβές ανά Επιβλέπων "Spyrou, Spyros"

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  • Μικρογραφία εικόνας
    Τεκμήριο
    The determinant factors of momentum strategies in international capital markets
    (12/01/2021) Slabchenko, Anastasia; Athens University of Economics and Business, Department of Economics; Tzavalis, Elias; Philippopoulos, Apostolis; Pagratis, Spyros; Dendramis, Yiannis; Chalamandaris, George; Galariotis, Emilios; Spyrou, Spyros
    This thesis consists of three studies that investigate momentum trading strategies in European markets. The first study examines the profitability of the momentum strategies for a sample of Eurozone equity markets as well as the UK and Sweden. The main research questions here are (a) whether these strategies are profitable in the sample markets, (b) which specific strategies are most profitable, and (c) whether the results are consistent in all sample markets. More specifically, a large number of strategies with different combinations of ranking and holding periods are empirically evaluated. The results indicate that both the profitability and the optimal combination of ranking and holding periods of momentum strategies vary across markets.The second study investigates the determinant factors of momentum profits in a sample of Core and Peripheral Eurozone equity markets as well as the UK and Sweden. The main research questions here are (a) which factors determine the profitability of these strategies, and (b) whether the results are consistent in all sample markets. I find that the factors that determine momentum portfolio profits exhibit sensitivity in country, portfolio, and time period. However, there are two determinant factors that exhibit country, portfolio, and time period stability: the VIX index and a local market portfolio. The third study examines the momentum crashes that have been documented by Daniel and Moskowitz (2016) in the US market. The main research question here is whether these findings are also present in European markets. My results confirm the findings of Daniel and Moskowitz (2016) only for the core and north European countries, for Sweden and for Italy but not for the peripheral and southern European countries and the UK. Challenging the "optionality" in the peripheral Eurozone markets. In addition, the lower bound of potential losses from momentum crashes is traced in the examined countries.