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This article examines profits from momentum strategies when applied to national stock market indexes. The empirical results based on the stock market indexes of 12 European countries and the United States show significant momentum profits. However, our analysis also suggests that the international momentum effect may simply be an empirical illusion due to the use of overlapping data. Specifically, the international momentum effect disappears when the analysis is conducted on nonoverlapping data. Our analysis shows that the international momentum effect, if exists, is mainly driven by national stock market indexes' return autocovariances. However, we find no or little evidence of significant serial correlations in returns for each of the stock market indexes, thereby leading further support to the finding that international momentum effects may not exist.
