Cross-Asset Time-Series Momentum

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Profile picture of Ivan Indriawan

Topic: Cross-Asset Time-Series Momentum: Crude Oil Volatility and Global Stock Markets 

Speaker: Ivan Indriawan, Auckland University of Technology

Abstract: We examine the profitability of a cross-asset time-series momentum strategy (XTSMOM) constructed using past changes in crude oil implied volatility (OVX) and stock market returns as joint predictors. We show that past crude oil volatility index returns negatively predict but past stock returns positively predict future stock market returns globally. The XTSMOM outperforms the single-asset time-series momentum (TSMOM) and buy & hold strategies with higher mean returns, lower standard deviations, and higher Sharpe ratios. The XTSMOM can also forecast economic cycles. We contribute to the literature on cross-asset momentum spillovers as well as on the impacts of crude oil uncertainty on stock markets.  

Moderator: Vitali Alekseev, University of Technology Sydney

Date: Wednesday, 20th April 2022
Time: 12-1 pm (Australian Eastern Standard Time)
Venue: This is an online Zoom webinar.

Seminar protocols:

  • The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
  • Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.

Co-ordinator: Kenny Phua

Enquiries: Ray Alonso

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Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.