Essays about: "momentum and contrarian investment strategy"

Found 3 essays containing the words momentum and contrarian investment strategy.

1. 1. Momentum Strategies in Commodity Futures Market: A Quantitative study

   University essay from Umeå universitet/Företagsekonomi

   Author : Jino Badinson; Alfred Gunnarsson; [2023]
   Keywords : Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

   Abstract : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. READ MORE

3. 2. To return or not return - Trend spotting in the Swedish market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Fulgentiusson; Lenny Erlesand; [2010]
   Keywords : economic policy; economic systems; economic theory; econometrics; Economics; efficient market hypothesis EMH ; contrarian strategy; momentum; Random Walk; mean reversion; Sharpe Ratio; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : The following essays checks whether the Swedish stock market (represented by OMXS30) supports the weak efficiency of the EMH by observing whether the stocks contain a unit root and whether one can use trading strategies to create abnormal profits. The AR(1) model of the stock prices have a unit root coefficient very close to 1, thus they are trend stationary but have a very long memory. READ MORE

4. 3. Sector Rotation Strategy Applied on the Swedish Stock Market : Do Swedish sector indices experience momentum effects?

   University essay from Företagsekonomiska institutionen

   Author : Mattias Larsson; Peter Dellgren; [2009]
   Keywords : Sector Rotation Strategy; Momentum effects; Contrarian effects; CAPM; Efficient Market Hypothesis; Exchange Traded Funds;

   Abstract : This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). READ MORE