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

See all articles by Pilar Corredor

Pilar Corredor

Public University of Navarre

Luis Muga

Universidad Publica de Navarra; INARBE

Rafael Santamaria

Public University of Navarre

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

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

Pilar Corredor

Public University of Navarre ( email )

Luis Muga

Universidad Publica de Navarra ( email )

Campus de Arrosadia 31006 Pamplona
Spain

INARBE ( email )

Rafael Santamaria (Contact Author)

Public University of Navarre ( email )

Campus de Arrosadia s/n
Pamplona, Navarra 31008
Spain

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