TIME-SERIES MOMENTUM PROFITS AND MARKET VOLATILITY EVIDENCE FROM KOREAN STOCK MARKET
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Keywords: Time series momentum, Cross sectional momentum, volatility and Korean stock market.Аннотация
Abstract: This research examines the time- series profitability in the Korean stock market. This research demonstrates the difference between momentum of the time-series and momentum of the cross-sectional and answers for the following questions. First, does the momentum of the time-series strategy generate profits in the Korean stock market? Second, how volatility impact time-series momentum profitability? In this study, we can see that momentum of the time-series is dominating and fully explains momentum of the cross-sectional. Research also finds that volatility has significant power in momentum of the time-series profits.
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