{"title":"股票期货和货币市场的跨动量策略","authors":"Yasuhiro Iwanaga , Ryuta Sakemoto","doi":"10.1016/j.jimonfin.2024.103170","DOIUrl":null,"url":null,"abstract":"<div><p>This study focuses on two of the most liquid assets—currencies and international equity futures indices—and investigates whether cross-momentum enhances momentum portfolios. We uncover that a combination of equity futures and currency portfolios sorted by cross-momentum outperforms a combination of those sorted by normal-momentum. The change in the Sharpe ratio is 0.32 and the economic gain based on the performance fee measure differs by 4.11% per annum. Moreover, we observe that the cross-momentum strategy is more strongly associated with commodity exporting countries. This stems from the positive relationship between equity futures and macroeconomic conditions for commodity exporting countries.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103170"},"PeriodicalIF":2.8000,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Cross-momentum strategies in the equity futures and currency markets\",\"authors\":\"Yasuhiro Iwanaga , Ryuta Sakemoto\",\"doi\":\"10.1016/j.jimonfin.2024.103170\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This study focuses on two of the most liquid assets—currencies and international equity futures indices—and investigates whether cross-momentum enhances momentum portfolios. We uncover that a combination of equity futures and currency portfolios sorted by cross-momentum outperforms a combination of those sorted by normal-momentum. The change in the Sharpe ratio is 0.32 and the economic gain based on the performance fee measure differs by 4.11% per annum. Moreover, we observe that the cross-momentum strategy is more strongly associated with commodity exporting countries. This stems from the positive relationship between equity futures and macroeconomic conditions for commodity exporting countries.</p></div>\",\"PeriodicalId\":48331,\"journal\":{\"name\":\"Journal of International Money and Finance\",\"volume\":\"148 \",\"pages\":\"Article 103170\"},\"PeriodicalIF\":2.8000,\"publicationDate\":\"2024-08-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of International Money and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0261560624001578\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Money and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0261560624001578","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Cross-momentum strategies in the equity futures and currency markets
This study focuses on two of the most liquid assets—currencies and international equity futures indices—and investigates whether cross-momentum enhances momentum portfolios. We uncover that a combination of equity futures and currency portfolios sorted by cross-momentum outperforms a combination of those sorted by normal-momentum. The change in the Sharpe ratio is 0.32 and the economic gain based on the performance fee measure differs by 4.11% per annum. Moreover, we observe that the cross-momentum strategy is more strongly associated with commodity exporting countries. This stems from the positive relationship between equity futures and macroeconomic conditions for commodity exporting countries.
期刊介绍:
Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.