Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock
Changes in Temporal Patterns of the Momentum Effect in Times of Turmoil: Evidence from the Bulgarian Stock

Summary/Abstract: This paper studies the momentum effect at the Bulgarian stock exchange in terms of its temporal structure for a period spanning from Jan-2004 to Jul-2017. Our aim is to reveal insights on the changes that took place with the beginning of the 2008 Financial crisis. The application of continuous wavelet analysis allows us to gain an in-depth knowledge on the cyclical patterns of the times series of raw profits on momentum trading strategy. This enables us to carry on further analysis aimed at identifying the drivers behind the phenomenon of significant momentum raw profits and the observed breaks during and after the crisis. Our findings contribute mainly to the process of delivering thorough understanding of the momentum effect from an empirical as well as from a behavioral perspective.

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