Profitability of Momentum Strategies in the International Equity Markets
研究国际股票市场指数中动量策略的盈利性，发现动量利润主要来自指数的时间序列可预测性，且前期交易量高的市场利润更高，验证了成交量在技术分析中的信息作用。
This paper examines the profitability of momentum strategies implemented on international stock market indices. Our results indicate statiscally significant evidence of momentum profits. The momentum profits arise mainly from time-series predictability in stock market indices—very little profit comes from predictability in the currency markets. We also find higher profits for momentum portfolios implemented on markets with higher volume in the previous period, indicating that return continuation is stronger following an increase in trading volume. This result confirms the informational role of volume and its applicability in technical analysis.