股票期货和货币市场的跨动量策略

IF 2.8 2区 经济学 Q2 BUSINESS, FINANCE Journal of International Money and Finance Pub Date : 2024-08-28 DOI:10.1016/j.jimonfin.2024.103170
Yasuhiro Iwanaga , Ryuta Sakemoto
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引用次数: 0

摘要

本研究侧重于两种流动性最强的资产--货币和国际股票期货指数--研究交叉动量是否能增强动量投资组合。我们发现,按交叉动量排序的股票期货和货币组合优于按正常动量排序的组合。夏普比率的变化为 0.32,基于业绩费用衡量的经济收益每年相差 4.11%。此外,我们还发现,跨动量策略与商品出口国的关联度更高。这是因为股票期货与商品出口国的宏观经济条件之间存在正相关关系。
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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.

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来源期刊
CiteScore
4.20
自引率
4.00%
发文量
141
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.
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Editorial Board Can fiscal consolidations announcements help anchor inflation expectations? Influence of ESG on corporate debt default risk: An analysis of the dual risk scenarios The effects of inflation uncertainty on firms and the macroeconomy Reconciling contrasting views on the growth effect of currency misalignments
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