Time Series Momentum Trading in KOSPI100
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This paper investigates whether time series momentum could explain the current stock prices. The paper contributes to the existing studies by investigating sector level time series momentum, instead of index level momentum. It intends to overcome potential omitted variable bias by including a latent variable, which represents the index wide common shocks. The paper finds that the short term momentum has statistically significant explanatory power while there is no empirical evidence that the longer term momentum does. Interviews of some Korean practitioners have conducted to provide some potential explanations of the empirical result.
Abstract
This paper investigates whether time series momentum could explain the current stock prices. The paper contributes to the existing studies by investigating sector level time series momentum, instead of index level momentum. It intends to overcome potential omitted variable bias by including a latent variable, which represents the index wide common shocks. The paper finds that the short term momentum has statistically significant explanatory power while there is no empirical evidence that the longer term momentum does. Interviews of some Korean practitioners have conducted to provide some potential explanations of the empirical result.
참고문헌 (32)
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