June 2025 (published: 05.06.2025)
Number 2(61)
UDC 336.76:336.648
Empirical study of momentum strategy in the Russian stock market
Reference for citation: Kabanov I.A., Kumacheva S.Sh. Empirical study of momentum strategy in the Russian stock market. Scientific journal NRU ITMO. Series «Economics and Environmental Management». 2025. № 2. Р. 12-21. DOI: 10.17586/2310-1172-2025-18-2-12-21
Abstract. This paper examines the application of the momentum investing strategy, originally proposed by Jegadeesh and Titman [2], adapted to the Russian stock market. The study's relevance stems from the lack of methodology of behavioral finance strategies in emerging markets, especially the Russian market, which has specific macroeconomic and institutional characteristics. The research is based on historical closing prices of the 50 largest companies listed on the Moscow Exchange, covering the period from 2015 to 2020. The methodological approach is based on constructing equity portfolios by combining different combinations of formation and holding periods, as well as evaluating the impact of introducing a time lag between these stages in order to mitigate market microstructure effects. The results provide strong evidence for the existence of a persistent positive return premium among stocks with strong historical momentum, particularly when the formation period is 6 months and the holding period ranges from 3 to 6 months. The statistical significance of these findings is confirmed through cross-validation using out-of-sample time intervals. These findings support the existence of persistent behavioral patterns in the price movements of Russian stocks, which are driven by delayed market reactions to news events. The practical importance of this study lies in demonstrating the feasibility of using momentum-based strategies in active portfolio management for the Russian market and in providing empirically supported recommendations for selecting optimal strategy parameters.
Read the full article
Keywords: Russian stock market, behavioral finance, factor models, portfolio return, market efficiency.
References:
1. Fama E.F. Efficient capital markets: a review of theory and empirical work // American Economic Review. 1970. Vol. 58/ No. 3. P. 383–417. DOI: https://doi.org/10.2307/2325486. 2. Jegadeesh N., Titman S. Returns to buying winners and selling losers: implications for stock market efficiency // Journal of Finance. 1993. Vol. 48. No. 1. P. 65–91. DOI: https://doi.org/10.1111/j.1540-6261.1993.tb04702.x. 3. Moskowitz T.J., Grinblatt M. Do industries explain momentum? // Journal of Finance. 1999. Vol. 54, No. 4. P. 1249–1290. DOI: https://www.jstor.org/stable/798005. 4. Asness C.S., Moskowitz T.J., Pedersen L.H. Value and momentum everywhere // Journal of Finance. 2013. Vol. 68. No. 3. P. 929–985. DOI: https://doi.org/10.1111/jofi.12021. 5. Barroso P., Santa-Clara P. Momentum has its moments // Journal of Financial Economics. 2015. Vol. 116. No. 1. P. 111–120. DOI: https://doi.org/10.1016/j.jfineco.2014.11.010. 6. Daniel K., Moskowitz T.J. Momentum crashes // Journal of Financial Economics. 2016. Vol. 122. No. 2. P. 221–247. DOI: https://doi.org/10.1016/j.jfineco.2015.12.002. 7. Moskowitz T.J., Ooi Y.H., Pedersen L.H. Time series momentum // Journal of Financial Economics. 2012. Vol. 104. No. 2. P. 228–250. DOI: https://doi.org/10.1016/j.jfineco.2011.11.003. 8. Микова Е.С., Теплова Т.В. Особенности моментум-стратегий на российском фондовом рынке // Финансовые исследования. 2013. № 4 (41). С. 16–32. 9. Назарова В.В., Лещев С.И. Исследование моментум-эффекта в динамике цен высоколиквидных акций на российском рынке ценных бумаг // Финансовый журнал. 2023. Т. 15. № 1. С. 58–73. DOI: 10.31107/2075-1990-2023-1-58-73. 10. Sharpe W.F. Mutual fund performance // The Journal of Business. 1966. Vol. 39. No. 1. Part 2. P. 119–138. DOI: https://doi.org/10.1086/294846. 11. Jorion P. Value at Risk: The New Benchmark for Managing Financial Risk. – 3rd ed. – New York: McGraw-Hill. 2006. – 600 p. – ISBN 978-0-07-146495-6. 12. Palmelind S., Emmoth S. Value-at-Risk and Expected Shortfall: Managing Risk for an Equity Portfolio: Bachelor Thesis / University of Gothenburg, Department of Economics and Statistics. – Gothenburg, 2014. – 46 p. [Электронный ресурс]. Режим доступа: https://gupea.ub.gu.se/handle/2077/36102 (дата обращения: 20.04.2025). 13. Московская биржа [Электронный ресурс]. Официальный сайт. URL: https://www.moex.com (дата обращения: 10.04.2025). 14. Hyndman R.J., Athanasopoulos G. Forecasting: Principles and Practice [Электронный учебник]. – 3rd ed. – Melbourne: OTexts, 2021. – Режим доступа: https://otexts.com/fpp3/, свободный. (Дата обращения: 20.04.2025). 15. Carhart M.M. On persistence in mutual fund performance // Journal of Finance. 1997. Vol. 52. No. 1. P. 57–82. DOI: https://doi.org/10.2307/2329556. 16. Fama E.F., French K.R. Common risk factors in the returns on stocks and bonds // Journal of Financial Economics. 1993. Vol. 33, No. 1. P. 3–56. DOI: https://doi.org/10.1016/0304-405X(93)90023-5. 17. Fan M., Kearney F., Li Y., Liu J. Momentum and the cross-section of stock volatility // Journal of Economic Dynamics and Control. 2022. Vol. 144. Art. 104524. DOI: https://doi.org/10.1016/j.jedc.2022.104524. DOI: https://doi.org/10.1016/j.jedc.2022.104524.
DOI 10.17586/2310-1172-2025-18-2-12-21
