Risk-managed time-series momentum: an emerging economy experience

• Autores: Singh, Simarjeet, Walia, Nidhi, Bekiros, Stelios, Gupta, Arushi, Kumar, Jigyasu, Mishra, Amar Kumar
• Formato: artículo
• Fecha de Publicación: 2022
• Institución: Universidad ESAN
• Repositorio: ESAN-Institucional
• Lenguaje: inglés
• OAI Identifier: oai:repositorio.esan.edu.pe:20.500.12640/3287
• Enlace del recurso: https://revistas.esan.edu.pe/index.php/jefas/article/view/638; https://hdl.handle.net/20.500.12640/3287; https://doi.org/10.1108/JEFAS-08-2021-0159
• Nivel de acceso: acceso abierto
• Materia: Time-series momentum; Risk-managed time-series momentum; Indian stock market; Impulso de la serie temporal; Impulso de la serie temporal gestionado por riesgo; Mercado de valores de la India; https://purl.org/pe-repo/ocde/ford#5.02.04

Purpose: This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach. Design/methodology/approach: The study considers the adjusted monthly closing prices of the stocks listed on the Bombay Stock Exchange from January 1996 to December 2020 to formulate long-short portfolios. Newey–West t statistics were used to test the significance of momentum returns. The present research has considered standard risk factors, i.e. market, size and value, to evaluate the risk-adjusted performance of time-series momentum portfolios. Findings: The present research reports a substantial absolute momentum effect in the Indian equity market. However, absolute momentum strategies are exposed to occasional severe losses. The proposed time-series momentum approach not only yields 2.5 times higher return than the standard time-series momentum approach but also causes substantial enhancement in downside risks and higher-order moments. Practical implications: The study's outcomes offer valuable insights for professional investors, capital market regulators and asset management companies. Originality/value: This study is one of the pioneers attempting to test the time-series momentum effect in emerging economies. Besides, current research contributes to the escalating literature on risk-managed momentum by suggesting a novel revised time-series momentum approach.