Momentum Strategies on Country ETFs

Authors

Michael Chiao, Missouri Western State UniversityFollow
Hunter M. Holzhauer, University of Tennessee at ChattanoogaFollow
Xing Lu, Indiana UniversityFollow
Jun Wang, University of MontevalloFollow
Yang (David) Yang, University of MontevalloFollow

Abstract

Domestic investors may use iShares country ETFs to exploit the momentum profit across country portfolios. This paper examines the price momentum on 15 well-diversified iShares country ETFs for developed markets from April 1996 to September 2023. We find statistically and economically significant profits for some momentum strategies: long past winners and short past losers. The results are robust to excessive risks. Thus, investors may seek outperformance by implementing momentum strategies on iShares country ETFs.

Recommended Citation

Chiao, Michael; Holzhauer, Hunter M.; Lu, Xing; Wang, Jun; and Yang, Yang (David) (2024) "Momentum Strategies on Country ETFs," Pennsylvania Economic Review: Vol. 31: No. 1, Article 2.
Available at: https://digitalcommons.wcupa.edu/pennsylvania-economic-review/vol31/iss1/2