Short-Term Momentum Effect: a Case of Middle East Stock Markets

Ejaz, Abdullah; Polák, Petr

doi:10.3846/btp.2015.438

Cited by 12 publications

(6 citation statements)

References 46 publications

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“…The momentum strategy yields on average 0.85 % per month across the countries. Ejaz and Polak (2015) tested the existence of the short-term momentum effect in 6 countries of the Middle East over the period 2008-2013 and found results confirming this anomaly. In India, Polak and Ejaz (2012) examined 4900 companies listed on Bombay Stock Exchange for the period going from June 2006 to June 2011 and found a short term momentum effect.…”

Section: Business and Economic Researchsupporting

confidence: 50%

Profitability of the Momentum Strategies in the Tunisian Stock Market

Boussaidi

Hmida

2016

BER

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This paper examines the profitability of the momentum strategies in the Tunisian stock market using all the listed firms for the period 1991-2015. The stock performance is measured by the returns and the cumulative abnormal returns during a formation and holding period of 3-12 months. We found evidence of momentum profitability especially for the sub-period 2003-2015. Buying the tercile or the quintile portfolio of stocks that have performed well in the past 3, 6 and 9 months and selling the tercile or quintile of the stocks that have performed poorly during the same periods, generate statistically and economically positive returns during the subsequent 3, 6, 9 and 12 months.

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Section: Business and Economic Researchsupporting

confidence: 50%

Profitability of the Momentum Strategies in the Tunisian Stock Market

Boussaidi

Hmida

2016

BER

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“…Besides these, other researchers have checked individually different stock markets over different time periods and have consistently reported positive abnormal returns after implementing momentum strategies. Some of these include Lui et al (1999) for the UK, Hurn and Pavlov (2003) for Australia, Mengoli (2004) for Italy, Cheng and Wu (2010) for Hong Kong, Pathirawasam and Kral (2011) for Sri Lanka and Ejaz and Polak (2015) for seven Middle East stock markets. However, apart from these studies, Chui et al and Wu (2011) reported low profitability of momentum strategies in Japanese and Chinese stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Momentum anomaly: evidence from the Indian stock market

Maheshwari

Dhankar

2017

JAMR

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Purpose The purpose of this paper is to provide insights into the profitability of momentum strategies in the Indian stock market. This study further evaluates whether the momentum effect is a manifestation of size, value or an illiquidity effect. Design/methodology/approach Monthly stock return data of 470 BSE listed stocks over the sample period from January 1997 to March 2013 were used to create extreme portfolios (winner and loser). The returns of extreme portfolios were evaluated using t-statistics and a risk-adjusted measure. Further checks were imposed by controlling for other potential sources of risk including size, value and illiquidity. Findings The study provides support in favor of momentum profitability in the Indian stock market. In contrast to the literature, momentum profitability is driven by winning stocks, and hence, buying past winning stocks generates higher returns than shorting loosing stocks in the Indian stock market. Strong momentum profits were observed even after controlling for size, value and trading volume of stocks. This suggests that the momentum effect in the Indian stock market is not a manifestation of small size effect, value effect or an illiquidity effect. Practical implications From the practitioner’s perspective, the study indicates that a momentum-based investment strategy in the short run is still persistent and can generate potential profits in the Indian stock market. Originality/value There is little empirical evidence on the momentum profitability, especially in the Indian stock market. The study contributes toward the literature by analyzing the momentum profitability even after controlling for size, value and an illiquidity effect. Some aspects of the momentum effect were observed to be dissimilar from those observed in literature for the USA and other countries. Such findings justify the need for testing the momentum profitability in stock markets other than the USA.

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“…Given the significant and equally inconsistent behavioural, cultural and industry‐specific components explaining momentum return, only limited research has been carried out on the specific Islamic markets. For instance, Ejaz and Polak (2015) considered seven major Middle Eastern markets and found significant short‐term momentum returns in these markets. Narayan and Phan (in press) employed JT's framework to examine momentun returns in Islamic stocks, and found that momentun profit is significantly influenced by, among others, the value and size factors.…”

Section: Introductionmentioning

confidence: 99%

Is momentum trading profitable from Shari'ah compliant stocks?

Rashid

2016

Rev Financ Econ

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a b s t r a c t JEL classification: G10 G11 G12This research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four-year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry-driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.

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Short-Term Momentum Effect: a Case of Middle East Stock Markets

Cited by 12 publications

References 46 publications

Profitability of the Momentum Strategies in the Tunisian Stock Market

Profitability of the Momentum Strategies in the Tunisian Stock Market

Momentum anomaly: evidence from the Indian stock market

Is momentum trading profitable from Shari'ah compliant stocks?

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