Quantitative Analysis of Price Momentum in Indian Equity Markets
This paper quantitatively analyzes Indian equity price momentum, comparing equal and exponential weighting schemes across varying formation and holding periods.
What it examines
The study tests the momentum effect in Indian equities. Using historical data, the author creates portfolios by ranking stocks on past returns, applying equal and exponential weighting over various formation and holding periods. It examines whether past winners keep winning and challenges the Efficient Market Hypothesis in an emerging market.
What it concludes
In conclusion, long-only momentum strategies perform well in bull markets while short selling loses value. Equal weighting delivers stable and balanced returns compared to more volatile exponential weighting, yielding valuable insights for portfolio construction, risk management, and dynamic asset allocation in emerging equity markets.
Evidence objects
Analysis shows equal-weighted momentum portfolios in India's equity arena beat the NIFTY 50 by delivering superior risk-adjusted returns, as winner portfolios excel while exponential weighting amplifies gains amid higher volatility.
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Methodologically, the study employs historical Yahoo Finance API data and metricsincluding cumulative and volatility-normalized risk-adjusted returnsrevealing that three-month formation periods capture recent trends effectively, despite varying performance across market conditions.
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Comparative evaluation highlights that long-only strategies outperform short selling, which suffers from elevated risk, while reliance on F&O-enabled midcap stocks limits generality, notably urging further research for robust portfolio construction.
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This paper examines wellknown momentum strategies within Indian equity markets, providing valuable insights for emerging markets through diverse weighting schemes and portfolio construction techniques. Although grounded in established literature, its analysis offers a fresh perspective for quantitative finance practitioners, making it remarkably interesting despite limited novelty in its core concept.
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Raw abstract and provenance
- … -based portfolio strategy in the Indian equity market using historical stock data. … calculated analytically and mathematically for each stock 𝑖 in the trading universe. …
Source row: 1630 · abstract type: snippet