Exploring the Relationship Between the Slope of the Yield Curve, Volatility, and the Profitability of Momentum Trading Strategies in US Stocks: An Empirical Analysis
Master thesis
Permanent lenke
https://hdl.handle.net/11250/3104259Utgivelsesdato
2023Metadata
Vis full innførselSamlinger
- Master of Science [1822]
Sammendrag
This thesis explores the interplay between yield curve inversions, volatility and Momentum trading strategy performance in the US stock market. We test the theory that yield curve dynamics can predict fluctuations in Momentum strategy returns,
with significant implications preceding and following economic downturns. Our empirical analysis uncovers patterns suggesting that the yield curve is positively correlated with momentum returns and that yield curve information gradually influences Momentum returns. Moreover, we incorporate market volatility measures to add depth to our investigation. Ultimately, this study seeks to shed light on economic forecasting through market indicators, contributing to more nuanced investment decisions and risk management.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2023