Physical Momentum in the Indian Stock Market

Autor:	Devulapally, Naresh Kumar, Tripurana, Tulasi Narendra Das
Rok vydání:	2023
Předmět:	Quantitative Finance - Portfolio Management Quantitative Finance - Statistical Finance
Druh dokumentu:	Working Paper
Popis:	Our study focuses on determining the presence of abnormal returns for physical momentum portfolios in the context of the Indian market. The physical momentum portfolios, comprising stocks from the NSE 500, are constructed for the daily, weekly, monthly, and yearly timescales. In the aforementioned timescales, we empirically evaluate the historical returns and varied risk profiles of these portfolios for the years 2014-2021. It has been observed that the best-performing physical momentum portfolios from each of the four timescales achieved higher returns and better risk measures when compared to the benchmark NIFTY 50 portfolio. We further find that the high-frequency daily time scale exhibits the strongest reversal in the physical momentum effect, wherein the portfolio yielded a 16-fold profit over the initial investment. Comment: 15 pages, 4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2302.13245 Zobrazit plný text záznamu View this record from Arxiv