The cross-sectional return dispersion with momentum strategyand the spill over across FX and Equity markets, during COVID-19

Abstract

This paper investigates the relation of momentum strategy and the return dispersion across currency and global equity markets by using 30 currency pairs and 30 global equity indices during last 2 decades. This paper also examines the lead-lag relationship of return dispersions through spillover from one market to another. In addition, we are successfully detected the relation between return dispersion of those market and the significant return by momentum strategy on currency market. However, we cannot detect significant positive return by using momentum strategy on global equity indices, so we cannot use the return dispersion from the lead market as an early indicator for the momentum strategy in the other market.