ONCE AN OUTLIER, STILL AN OUTLIER?

Xiuqing Ji

Abstract


Japan’s financial market is very interesting. It is widely documented that, while cross-sectional momentum exists in many countries, it does not exist in Japan. Recently, time series momentum has been dubbed, yet there is little research on its performance in Japan. I conduct the first examination of the phenomenon in Japan for a period that had not been studied before: 1920 to 1984. The results show that time series momentum is significantly profitable and demonstrates an interesting pattern: January profits are positive and larger than non-January ones.

JEL classification: G11, G12, G14

Keywords: Time Series Momentum, Japan, January.


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References


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