The Profitability of Momentum Strategies using Stock Futures Contracts in Small Markets
Applied Financial Economics Letters, Vol. 2, pp. 173-177, 2006
Posted: 30 Mar 2006
Abstract
This paper investigates the profitability of non-traditional momentum strategies using stock futures contracts. The results leads us to conclude that these strategies dominate those implemented using stocks. Despite this, however, no positive returns are found during the sample period after adjusting for risk and transaction costs.
Keywords: Momentum, Futures contracts, small markets
JEL Classification: G14, G19, C14
Suggested Citation: Suggested Citation
Corredor, Pilar and Muga, Luis and Santamaria, Rafael, The Profitability of Momentum Strategies using Stock Futures Contracts in Small Markets. Applied Financial Economics Letters, Vol. 2, pp. 173-177, 2006, Available at SSRN: https://ssrn.com/abstract=892611
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