The Momentum Strategy Features in the Scandinavian and Finnish Markets

The work is devoted to the study of the momentum effect in the markets of Denmark, Norway, Finland, Sweden for the period 2001-2021. The aim of the master's thesis is to identify the portfolio momentum effect in the markets of the Finland and Scandinavian countries, taking into account the variety of momentum strategy parameters. The practical significance lies in the possibility of using the research results about momentum effect (the most successful momentum strategy is revealed) when creating a strategy capable of outperforming the market, both for funds and for private investors. In the third chapter of the work, 896 different variants of the momentum strategy are tested in the markets of Denmark, Norway, Finland, and Sweden. The possibility of rebalancing, company size, stock liquidity, periods of growth, decline and market uncertainty are taken into account. Momentum strategies are built taking considering the month of skipping (reversal effect) and overlapping periods, due to which more than 3.6 million portfolios were involved in testing.