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dc.contributor.authorGao, Yang
dc.date.accessioned2019-03-14
dc.date.available2019-03-14
dc.date.issued2018-08-30
dc.identifier.urihttp://hdl.handle.net/2123/20149
dc.description.abstractThis thesis investigates momentum trading strategies during times of market turbulence. Momentum strategies have been shown to be profitable during multiple time periods in various equity markets and across different asset classes. However, one issue that momentum strategies face is the limited profitability during market downturns and the vulnerability to crashes. Another practical issue for momentum is the regulations on the short-side of its strategy during extreme economic conditions. As such, it is crucial to investigate and accurately interpret what drives momentum according to its vulnerability to crashes and regulations. In light of the frequent gains coupled with occasionally huge losses found to be typical of momentum strategies, it is also important to improve existing momentum strategies to better capture market trends. This thesis explores issues related to the vulnerability of momentum to crashes and regulations and ultimately endeavours to offer a solution. It consists of four essays addressing issues on the downside risk of momentum strategies across various market states. It empirically investigates these issues and contributes to the understanding of momentum risk management. Specifically, the first study analyses the vulnerability of momentum to financial crashes; the second study investigates the impact of short-selling restrictions on informed momentum trading; the third study introduces a new strategy that distinguishes between upside and downside risks in the calculation of trading positions; and the final study examines the asymmetric performance of decomposed momentum portfolios. The resultant empirical findings fulfil literature gaps and provide valuable insights into the management of momentum downside risk during times of deteriorating business conditions and market states.en_AU
dc.publisherUniversity of Sydneyen_AU
dc.publisherSydney Business Schoolen_AU
dc.publisherDiscipline of Financeen_AU
dc.rightsThe author retains copyright of this thesis. It may only be used for the purposes of research and study. It must not be used for any other purposes and may not be transmitted or shared with others without prior permission.en_AU
dc.subjectDownside Risken_AU
dc.subjectMarket Statesen_AU
dc.subjectMomentumen_AU
dc.subjectPortfolio Managementen_AU
dc.subjectTrading Strategiesen_AU
dc.titleMomentum, Market States and Downside Risken_AU
dc.typePhD Doctorateen_AU
dc.type.pubtypeDoctor of Philosophy Ph.D.en_AU
dc.description.disclaimerAccess is restricted to staff and students of the University of Sydney . UniKey credentials are required. Non university access may be obtained by visiting the University of Sydney Library.en_AU


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