Market Momentum Research Articles

Forecasting Stock Market Momentum in Nepal: Application of Fuzzy Logic Model

Background: Stock market experts analyse various indicators to estimate the stock market, including historical prices, economic analysis, industry analysis and company analysis, but this study uses historical prices for the NEPSE index, making forecasting more precise. Purpose: The purpose of this study is to explore short-term stock market momentum using fuzzy logic. The study also aims to establish a suitable fuzzy model to predict stock momentum, reduce the risk, and make the right investment decision. Methodology/Design: This study employed exploratory research design to understand the problem of chaotic decision making in the stock market. The mathematical method employed in this study is membership functions, which are part of fuzzy logic. This includes only the commercial banks, as it has the highest market capitalization, 53.11% of total market capitalization. Using 14-day past data as a base, the suggested fuzzy model determines the stock index’s momentum over the next 5 days. Findings: The forecasted trend value for the Nabil, Civil, and Prime Commercial bank is 0.92, 0.92, and 0.80, which shows a bullish trend. Compared to previously collected data, the findings closely reflect the expected real-world values.

Pengaruh Faktor Demografi dan Literasi keuangan dengan Behavior Finance dalam Pengambilan Keputusan Investasi

The investment decision-making process is influenced by various factors, including financial literacy and demographic factors. This research examines the impact of demographic factors and financial literacy with behavioral finance as a mediation on investment decision making. This research using structural equation model (SEM) analysis. The result shows that demographic factors through gender, age, education, income, occupation and experience have an influence and cause a specific behavior in investment decision making. Then the financial literacy factor has an influence in reducing negative behavior. Likewise, demographic factors and financial literacy with behavioral finance as a mediation on investment decisions have a positive influence. The existence of behavior that is manages with planning, financial literacy support, and demographic factors owned by individual investors will create an opportunity for market momentum. Which help maximize profit, better investment and portfolio performance, avoid risks, better investment decision, and forming trading strategies.

Understanding idiosyncratic momentum in the Chinese stock market

In this paper, we revisit the idiosyncratic momentum pattern in the Chinese stock market. We show that idiosyncratic momentum strategies constructed to hedge out the risk exposures to eight popular multifactor models remain profitable. Importantly, a PLS-based idiosyncratic momentum strategy that aggregates the information contained in various idiosyncratic momentum measures consistently produces substantial profits in the cross-sectional pricing at the portfolio and individual stock levels. Furthermore, the PLS-based idiosyncratic momentum factor is helpful in explaining the cross-section of expected returns and can be rationalized in the context of Merton’s (1973) intertemporal CAPM (ICAPM) theory.

Socio-economic significance of oil crops products

The article reflects the socio-economic importance of oilseeds in the domestic market of consumption, focuses on the indispensability of processing sunflower, soybeans, canola, mustard, flax oil for food and the economic effect of using oilseeds for producers of these products in the agricultural market. . It is established that the production of oilseeds is an integral part of the diet of the population of Ukraine, an important segment of the livestock industry, an important sector of the agricultural economy. It is noted that domestic products of oilseeds processing dominate export markets. It is determined that the innovative direction today is the use of waste from oilseeds processing in the bioenergy industry. The purpose of the article is to to reveal the socio-economic significance of oilseeds in Ukraine and to determine further prospects for development at the present stage of functioning of the domestic agricultural market. Research methods – system generalization, abstract-logical, analysis and synthesis, observation, comparison. Research results. Today, Ukraine in the world market of oilseeds occupies a leading position in terms of their production and exports of processed products. For the last 20 years, the oil and fat industry has dominated the agricultural market of Ukraine in terms of price, profitability, value added, production rates, etc. Production chains have been formed from small farmers to processors of raw materials and exporters of oil and seeds. It is profitable and profitable to produce oilseeds, the resulting products are liquid and in demand in the market. The structure of consumption of sunflower processing products: meal – 25%, oil – 10%; rapeseed: meal – 20%, oil – 0.7%; soy: meal – 35%, oil – 0.3%. So, the vast majority of products are exported. Sunflower is a strategic oil crop in Ukraine, which has "established" itself on production areas as the main oil crop, and the products of its processing are a significant export product. Demand for sunflower oil is growing every year due to increasing demand from importing countries. Rapeseed is gaining momentum in the domestic market of oilseeds due to the growth of its processing. Rapeseed is a crop with a wide range of uses. Sleeveless low-glucosinolate varieties of rapeseed provide high-quality meal, feed improvers. In the agronomic aspect, rapeseed has undeniable advantages in that it provides up to 1.5-2.0 tons of oil from 1 hectare of field. Soybeans are a valuable protein-oil crop that has a wide range of uses: feed production, food, technical purposes, medicine. Soybeans have a fairly high productivity, a wide range of distribution. When growing soybeans, both protein and vegetable oil are obtained. Ukraine consumes about 50 thousand per month. tons of soybean meal and cake. In the general structure of forages soybean meal occupies 23%. Despite the multi-vector application of finished products of oilseed flax, mustard and products of their processing, the dynamics of production of these crops in Ukraine has a downward trend. Mustard seed production in Ukraine is a chaotic phenomenon. Oilseed flax seeds and oil are used in the food and pharmaceutical industries. Mustard is of great importance as an oil crop, and mustard oil is not inferior in quality to sunflower. Conclusions. The food industry is shaping the demand for sunflower oil with a high content of oleic acid. The market for high-oleic sunflower is constantly growing and isolating. A promising direction for sunflower is the production of organic sunflower and the emphasis on the quality of the final product. The prospect of expanding the rapeseed market is due to a number of factors: rapeseed is a universal agro-ecological crop that has a beneficial effect on the soil and is an excellent precursor to winter cereals; rapeseed oil is one of the cheapest vegetable oils used in many industries; rapeseed oil is used as the main raw material for biofuel production. Soybean as a unique protein-oil crop with a wide range of uses has the potential to increase production in the domestic agricultural market due to high yields and a wide range. At the same time it is necessary to take into account the leading positions of this culture in terms of production in the world. Regarding oil flax and mustard, we believe that these crops have the potential to increase production. This is due to the fact that oil flax is suitable for growing in all regions of Ukraine, and is also characterized by waste-free production. A similar position on mustard – Ukraine belongs to the traditional world areas of mustard cultivation, and the use of modern technologies of mustard cultivation can give a harvest that is not inferior to the yield of rapeseed.

Last hour momentum in the Chinese stock market

PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 trading rule. This strategy generates annualized excess return of 9.673%.Design/methodology/approachIn this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF.FindingsOverall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days.Originality/valueNoise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.

Lottery-like momentum in the cryptocurrency market

Following the methodology of Bali et al. (2011), we construct the lottery-like portfolio based on the maximum return. First, we find that a higher maximum return leads to a higher future return among 64 cryptocurrencies. This phenomenon is called the lottery-like momentum. Controlling for the momentum effect, the lottery-like momentum still exists in the cryptocurrency market. In addition, we find that the major cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC)—are less likely to have extreme positive returns. And the absence of extreme positive returns is persistent.

What explains voluntary premarket underpricing and aftermarket mispricing in Indian IPOs?

Using a unique regulatory design from the Indian IPO setting, this paper decomposes traditional underpricing (offer-to-close return) into voluntary premarket and aftermarket mispricing. This separation allows us to test propositions from information asymmetry-based and behavioral theories that explain IPO underpricing. Our results show that underwriter reputation is significantly related to greater voluntary underpricing in the premarket. This relation is more pronounced for small firms, institutional oversubscription, and IPOs without discretionary allocation. Consistent with investor sentiment, oversubscription by retail investors and market momentum is positive and significantly related to initial returns in the aftermarket. Further, our results support that premarket transparency reduces the winner’s curse for retail investors in the post-listing period. Overall, the findings suggest that information-based factors explain premarket voluntary underpricing, whereas, behavioral factors are significantly related to aftermarket mispricing. Our results are robust to endogeneity concerns.

News Credibility and Influence within the Financial Markets

How does information credibility, a subjective judgment of investors, affect empirical asset pricing in financial markets? Traditional economic theories are inadequate for interpreting market responses driven by people’s subjective thinking, as these cognitive processes are not encompassed by the concept of utility. We explore these effects by using computational linguistics and deep structured learning algorithms to analyze financial newspapers and social media posts. After controlling for factors related to content and market momentum in our narrative based credibility indicator, we find that news credibility is positively correlated with the returns on assets preferred by experts and negatively correlated with assets preferred by gamblers. Based on this finding, we point out that the efficient-market hypothesis (EMH) is not appropriate in the dominant market of gamblers in the short-term. In the long-term, however, investment motivation does not significantly affect the validity of the hypothesis.

The role of one-stop shops in energy renovation - a comparative analysis of OSSs cases in Europe

With energy transition setting the ground for innovation and new ways of conducting business, one-stop shops (OSSs) have recently gained momentum in the renovation market. By transforming a complex set of multiple-actor decisions into a single entry and customer-centric service, OSSs have the potential of establishing a bridge between the fragmented demand and supply sides of the traditional renovation value chain. To assess the viability of the OSSs model as a vehicle of accelerating decarbonisation efforts in the European building stock, this paper collects and analyses 63 case studies of OSSs across Europe. The study offers insights into the dynamics of their business model, key benefits and ways forward, by explicitly exploring OSSs’ role in incentivising homeowners to decide to renovate. Our findings show that OSSs can be instrumental in addressing the multitude of barriers that prevent homeowners to renovate. With around 100,000 OSSs projects per year, their activity is expected to substantially contribute to the European renovation targets to rise, subject to favourable policy framework, availability of affordable financing solutions and experience sharing within and across countries. With some OSSs already supporting vulnerable households to renovate, OSSs might be well-placed in the future to contribute to tackle energy poverty by assisting in accessing financing and engaging property owners to renovate.

Overreaction‐based momentum in the real estate investment trust market

AbstractThis paper examines cross‐sectional return predictability in a real estate investment trust (REIT) market by using a continuing overreaction measure constructed based on the weighted average of signed volumes. We show that (a) trading strategies that involve buying REITs with an upward continuing overreaction and selling REITs with a downward continuing overreaction generate intermediate‐term momentum and long‐term return reversals; (b) the continuing overreaction measure provides superior predictive power in future REIT returns compared with the traditional predictor measured by past returns; and (c) overreaction‐based momentum is more pronounced when the market state continues in the same direction. Evidence from the REIT market provides direct support for the return prediction of the model based on investor overconfidence and biased self‐attribution rather than the model based on dividend growth theory.

Higher moments anomaly: evidence from the Indian equity market

PurposeThe study investigates the impact of higher moments on cross-sectional returns in the Indian equity market.Design/methodology/approachUsing the daily data of 3,085 Bombay Stock Exchange-listed stocks spanning over 20 years from January 2000 to December 2019, the study evaluates the relationship between higher moments (skewness and kurtosis) and stock returns at individual stock and portfolio levels. The variations in the returns of the equal-weighted and the value-weighted portfolios are analysed, where the portfolios are constructed by sorting the stocks on skewness and kurtosis. The returns are adjusted for five common factors – market excess-returns, size, value, momentum and illiquidity, to controls other cross-sectional effects. Besides, the study employs Fama-MacBeth cross-sectional regression and time-series tests of higher moments as robustness measures.FindingsThe study presents higher moments anomaly in the Indian equity market. Contrary to what is expected based on a risk-averse rational agent model, a robust positive relationship is observed between the skewness and stock returns. The relationship between the kurtosis and stock returns is negative, albeit statistically weak. These results are robust for the Fama-MacBeth cross-sectional regression and time-series tests.Originality/valueIt is among the earlier attempts to investigate the pricing impact of higher moments at different levels of asset prices in an emerging market. Besides the standard portfolio methodology for explaining cross-sectional variations, the study also employs the time-series tests for higher moment factors, hence provides more robust results. Results have wider implications for asset pricing in emerging markets and highlight many issues for further research.

THE IMPACT OF COVID-19 ON IRAQI STOCK MARKET: AN EVENT TO STUDY METHODOLOGY

The research aims to study the impact of the economic crisis caused by the Corona pandemic on the Iraqi stock market by studying the event, specifically the impact of two pandemic events on the returns and volume of shares circulation, for companies listed on the Iraq Stock Exchange across sectors (banks - communications - insurance - services - Industry - Hotels and Tourism - Agriculture), and the Iraqi market for financial stocks represents the place of application, while the market sectors, which number (7), represent the research community, and the sample of the study of the impact of the pandemic on the market index, companies included in the Iraq Stock Exchange Index (SIX60) which Its number reached (60) companies from all market sectors, while the sample for studying the impact of the pandemic on the sector’s returns and trading volume in them was (102) companies representing all companies listed on the Iraq Stock Exchange. Data and information were obtained from reports (daily, weekly and monthly) issued. From the Iraq Stock Exchange and the Securities Commission for the time period (2019-2020), and the financial methods represented by stock returns, trading volume and market momentum index were relied upon, and some statistical methods were adopted. For my description of (arithmetic mean, standard deviation, and percentages), as well as inferential statistics methods (autocorrelation coefficient - simple regression - T-test - histogram - scatter plot - QQ chart) across applications (SPSS V25-Excle 2020- Py Charme2020) to compare Results and testing of research hypotheses. This is to determine the impact of the Corona pandemic (the first and second event) on the returns and trading of ordinary shares on the Iraq Stock Exchange.

A Dual Volatility Conditioning with Moderation in the Hedge Fund Return Process

One-month prior role of mediation by market momentum on the effect of market excess return to its contemporaneous hedge fund performance through the one-month prior level of VIX as the primary moderator is moderated if the indirect effect of the one-month prior market momentum depends on the return magnitudes of one-month prior VIX as the secondary moderator. This paper adopts quantitative approaches with behavioral implications to financial time-series applying the multiple moderator-conditional process models. Consistent with our view that hedge fund managers exhibit different skill sets in translating the implied volatilities especially in the equity market, we document some heterogeneity of processing momentum implications by dynamically adjusting risk-in/off behavior across hedge fund strategies. We subsequently show the test methodology when the indirect effect on the returns of various hedge fund strategies by market risk premium is moderated by any factor whenever two different moderators are switching their primary and the secondary roles of dependency.

Alternative Risk Premia Timing: A Point-in-Time Macro, Sentiment, Valuation Analysis

We investigate the question of dynamic allocation across a diversified range of alternative risk premia. By using a set of point-in-time indicators across macro, sentiment and valuation dimensions, we find that a majority of indicators deliver a positive information ratio for a majority of alternative risk premia over the period 2005–2020. In our empirical simulations, the macro dimension seems to have worked well, notably during recession periods. Sentiment (based on market stress and momentum) struggled during recovery periods, but added value elsewhere. Valuation has worked well from 2005 to 2013 and lost part of its appeal since then. The combination of indicators allows to deliver a higher information ratio thanks to the low correlation among them. Our research also finds that point-in-time macroeconomic variables (“nowcasters”) can add value over traditional indicators, while this improvement is not significant in the case of the market stress indicator.

Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism

Intraday return predictability has generated great interest from academics and practitioners, and intraday momentum in the stock market has been widely documented in the literature. China’s crude oil futures market has a unique trading mechanism with a novel W-shaped trading volume pattern. Inspired by this, we use high-frequency data from China’s crude oil futures market to examine its intraday return predictability. We find a strong intraday reversal effect rather than a conventional intraday momentum effect. Specifically, the previous night’s return can significantly predict the day’s return both in- and out-of-sample. Asset allocation and market timing exercises show that this finding is also economically significant. Furthermore, we find that intraday reversal predictability is concentrated in high trading volume, high return volatility, and low liquidity periods. The predictability of the day return from the night return increases when more night information and less day information are included.

Factor Momentum in the Chinese Stock Market

Factor Momentum in the Chinese Stock Market

Momentum and disposition effect in the US stock market

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effe...

A Functional Modeling Approach to Stock Market Momentum

This paper proposes a novel dynamic function to capture the phenomenon of momentum in financial markets. It occurs when high returns subsequently follow a security’s past high returns, and subsequent low returns follow its past low returns. By exploring an analogy to the momentum definition from physics, we model financial momentum as the product of a stock’s return and its number of shares outstanding with considerations of the difference between its market price and intrinsic price. In contrast to traditional proxies, where the momentum is described as the rate of acceleration of a security’s price or volume and is calculated based on past 12-month returns or the associated accumulation in returns, the dynamics of our model exhibit advantageous trading characteristics for common momentum-based strategies.

Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks

What factors drive price discovery for cross-listed shares? Several significant variables were identified, but the literature assumes that their impact is symmetric throughout the distribution of information shares. Using data from 25 companies listed in the five largest Euro-area stock markets, we examine possible asymmetries using an unconditional quantile regression model, while also expanding the number of possible drivers. We find that liquidity, trading costs, and the probability of informed trading have a higher impact on the middle quantiles compared to the tails, implying that changes in market quality are more important to the price discovery process when the competition among markets is high and less important when informativeness is biased towards one market. Also, we document that price discovery varies with market momentum (mostly positive impact), country risk (mostly negative impact), and financial stress (positive impact), showing a novel ‘flight-to-safety’ effect in price discovery.

Green Hydrogen: The Holy Grail of Decarbonisation? An Analysis of the Technical and Geopolitical Implications of the Future Hydrogen Economy

Hydrogen is currently enjoying a renewed and widespread momentum in the energy market. In the last years, demand for hydrogen has substantially increased worldwide, with several countries developing hydrogen national strategies, and private companies investing in the development of hydrogen related projects. Green hydrogen’s environmental sustainability and versatility contribute to its representation as the holy grail of decarbonisation. This working paper challenges this definition, by analysing the historical process which contributed to hydrogen’s rise, showing the current uses of hydrogen and the major obstacles to the implementation of a green hydrogen economy, and assessing the geopolitical implications of a future hydrogen society. Particularly, the paper shows that the hydrogen economy is still far from becoming reality. Even though investments in green hydrogen technologies and projects have increased over the last decade, there still remains a high number of unresolved issues, relating to technical challenges and geopolitical implications. Nonetheless, a clean hydrogen economy offers promising opportunities not only to fight climate change, but also to redraw geopolitical relations between states. The energy transition is already taking place, with renewable energies gradually eroding the global energy system based on fossil fuels. A global transformation, set in motion by the need to decarbonise the energy system, will have the potential to redraw international alliances and conflicts. In this context, hydrogen may play a crucial role. By 2050, hydrogen could indeed meet up to 24% of the world’s energy needs, thus highly influencing the geopolitical landscape. In this regard, the choice over which pathway to take for the creation of hydrogen value chains will have a huge geopolitical impact, resulting in new dependencies and rivalries between states. Conclusively, if national governments are willing to spur the emergence of a green hydrogen economy, they should heavily invest in research and development, encourage the development of a clean hydrogen value chain, and promote common international standards. Moreover, they should also take into account hydrogen’s geopolitical implications. If the hydrogen economy is well-managed, it could indeed increase energy security, diversify the economy, and strengthen partnerships with third countries.