# Physical Momentum in the Indian Stock Market

**Authors:** Naresh Kumar Devulapally, Tulasi Narendra Das Tripurana  
**arXiv:** [2302.13245](https://arxiv.org/abs/2302.13245)  
**Date:** 2023-02-26  
**Summary page:** https://www.summarizepaper.com/en/paper/2302.13245v1/

## Key points

- Study by Naresh Kumar Devulapally and Tulasi Narendra Das Tripurana on physical momentum in the Indian stock market
- Investigation of abnormal returns for physical momentum portfolios using NSE 500 index stocks across various timescales
- Best-performing physical momentum portfolios outperformed NIFTY 50 benchmark in terms of returns and risk measures
- Daily time scale showed strong reversal in physical momentum effect, leading to significant profit
- Importance of considering different timescales when constructing and evaluating momentum portfolios
- Potential opportunities for investors to capitalize on market inefficiencies through strategic portfolio management

## Summary

In their study titled "Physical Momentum in the Indian Stock Market," authors Naresh Kumar Devulapally and Tulasi Narendra Das Tripurana investigate the presence of abnormal returns for physical momentum portfolios within the Indian market. The study focuses on constructing physical momentum portfolios using stocks from the NSE 500 index across daily, weekly, monthly, and yearly timescales. By empirically evaluating historical returns and risk profiles of these portfolios from 2014 to 2021, the authors find that the best-performing physical momentum portfolios in each timescale outperformed the benchmark NIFTY 50 portfolio in terms of both returns and risk measures. One notable finding is that the high-frequency daily time scale exhibited a strong reversal in the physical momentum effect, leading to a remarkable 16-fold profit over the initial investment. This suggests that investors utilizing physical momentum strategies at a daily frequency could potentially achieve significant gains compared to traditional benchmark indices. Overall, this study sheds light on the effectiveness of physical momentum strategies in generating abnormal returns within the Indian stock market context. The findings underscore the importance of considering different timescales when constructing and evaluating momentum portfolios, as well as highlighting potential opportunities for investors seeking to capitalize on market inefficiencies through strategic portfolio management.