Research on the momentum of Sector-specific ETFs

ギョウシュベツ　ETF　ノ　モーメンタム　ゲンショウ　ニ　ツイテ

The Economic Society of Osaka University and Graduate School of Economics, Osaka University

ETF

投資戦略

行動ファイナンス

Momentum

ETF

Investment strategy

Behavioral Finance

Article

This study examines whether there is an abnormal profit in the industry momentum strategy within TOPIX-17 sector-specific ETFs. The results of the investigation revealed that, unlike the significant industry momentum profits observed in developed markets such as the United States, neither cross-sectional nor time-series momentum profit is confirmed within TOPIX-17 sector-specific ETFs. Furthermore, the momentum phenomenon, which was previously believed to be confirmed by incorporating behavioral finance theories, is also not observed in TOPIX-17 sector-specific ETFs. As a result of this study, it is confirmed that realizing profits through industry momentum strategies is challenging within TOPIX-17 sector-specific ETFs, and the study provides insights into the reasons behind the absence of profit in industry momentum strategies.