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Article

Momentum Trading in Sector ETFs

Steven Dolvin and Jill Kirby
The Journal of Index Investing Winter 2011, 2 (3) 50-57; DOI: https://doi.org/10.3905/jii.2011.2.3.050
Steven Dolvin
is an associate professor of finance at the College of Business at Butler University in Indianapolis, IN.
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  • For correspondence: sdolvin@butler.edu
Jill Kirby
is an assistant professor of finance at the College of Business at Butler University in Indianapolis, IN.
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  • For correspondence: jekirby@butler.edu
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Abstract

If markets were efficient, then strategies based on past price behavior would be essentially worthless. However, many traders follow investment plans that are designed to exploit momentum, particularly across sectors. This article examines one common, related trading rule: “There’s Always a Bull Market Somewhere.” Under this approach, investors buy (sell) past 12-month winners (losers). Prior studies find a positive abnormal return in the subsequent 12-month period following implementation of this strategy; however, no study examines the impact of such rules on the short-term trading patterns (returns and volume) of related securities. This article fills this gap, finding that ETFs representing sectors experiencing positive (negative) momentum have higher (lower) returns on days associated with the execution of this momentum strategy. It also finds that calendar days coinciding with the implementation of this rule are associated with increased trading volume in related sector ETFs, particularly on the buy side in more recent periods.

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The Journal of Index Investing: 2 (3)
The Journal of Index Investing
Vol. 2, Issue 3
Winter 2011
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Momentum Trading in Sector ETFs
Steven Dolvin, Jill Kirby
The Journal of Index Investing Nov 2011, 2 (3) 50-57; DOI: 10.3905/jii.2011.2.3.050

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Momentum Trading in Sector ETFs
Steven Dolvin, Jill Kirby
The Journal of Index Investing Nov 2011, 2 (3) 50-57; DOI: 10.3905/jii.2011.2.3.050
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  • Article
    • Abstract
    • THERE’S ALWAYS A BULL MARKET SOMEWHERE
    • EVENT STUDY DATA AND METHODOLOGY
    • FINDINGS
    • OTHER MOMENTUM TRADING RULES
    • CONCLUSION AND APPLICATION
    • ENDNOTES
    • REFERENCES
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