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Evaluation of the Momentum Strategy on the German Stock Exchange

An empirical analysis of the DAX and MDAX

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96pages
Temps de lecture
4heures

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The research investigates the momentum effect in financial markets, specifically analyzing data from the German Stock Exchange over the past decade. It creates two virtual portfolios, one based on the DAX index and the other on MDAX securities. The study aims to verify two hypotheses: whether momentum persists in an era of widespread internet access and if it is more pronounced in MDAX due to smaller firms and lower market efficiency. This work contributes to understanding trading strategies influenced by market dynamics.

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Evaluation of the Momentum Strategy on the German Stock Exchange, Eugen Stumpf

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Année de publication
2013
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