Momentum Trading in New York Stock Exchange (NYSE) Energy Stocks

Dimtrios Thomakos, Fotis Papailias

Research output: Contribution to journalArticlepeer-review


This paper investigates whether the momentum effect exists in the NYSE energy sector. Momentum is defined as the strategy that buys (sells) these stocks that are best (worst) performers, over a pre-specified past period of time (the 'look-back' period), by constructing equally weighted portfolios. Different momentum strategies are obtained by changing the number of stocks included in these portfolios, as well as the look-back period. Next, their performance is compared against two benchmarks: the equally weighted portfolio consisting of most stocks in the NYSE energy index and the market portfolio, and the S&P500 index. The results indicate that the momentum effect is strongly present in the energy sector, and leads to highly profitable portfolios, improving the risk-reward measures and easily outperforming both benchmarks.
Original languageEnglish
Pages (from-to)243-256
Number of pages14
JournalInternational Journal of Energy and Statistics
Issue number4
Publication statusPublished - Dec 2013

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