Macroeconomic momentum and cross-sectional equity market indices

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-03-18 DOI:10.1016/j.intfin.2024.101974

Yu Zhang, Konstantina Kappou, Andrew Urquhart

引用次数: 0

Abstract

Momentum is a well-known and studied artefact of financial markets. In this paper, we investigate whether momentum in a country’s macroeconomic variables is related to the future performance of equities in that country. We find that the past economic trends of a country’s fundamentals are positively associated with the equity market index returns. Based on that, an economic momentum portfolio of buying (selling) equity index in countries with relatively strong (weak) economic past trends exhibits an annualised Sharpe ratio of 0.87. The economic momentum portfolio outperforms benchmarks regarding rewards to variability and maximum drawdown and yields an annualised alpha of 3.72%, leaving 95% of the returns unexplained by the benchmarks.

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宏观经济动量与横截面股票市场指数

动量是金融市场中一个众所周知的研究对象。在本文中，我们研究了一国宏观经济变量的动量是否与该国股票的未来表现相关。我们发现，一国基本面的过去经济趋势与股票市场指数回报率呈正相关。在此基础上，在过去经济趋势相对较强（较弱）的国家买入（卖出）股票指数的经济动量投资组合的年化夏普比率为 0.87。经济动量投资组合在变异回报和最大缩水方面优于基准，并产生了 3.72% 的年化阿尔法，95% 的回报无法用基准来解释。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.